Efficient implementation of the Heston-Hull & White model

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dc.contributor.advisorDos Santos, Mosesen_ZA
dc.contributor.advisorVan Rooyen, Marchanden_ZA
dc.contributor.authorMaze, Sheldonen_ZA
dc.date.accessioned2014-10-17T10:09:49Z
dc.date.available2014-10-17T10:09:49Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractA model with a stochastic interest rate process correlated to a stochastic volatility process is needed to accurately price long- dated contingent claims. Such a model should also price claims efficiently in order to allow for fast calibration. This dissertation explores the approximations for the characteristic function of the Heston-Hull&White model introduced by Grzelak and Oost- erlee (2011). Fourier-Cosine expansion pricing, due to Fang and Oosterlee (2008), is then used to price contingent claims under this model, which is implemented in MATLAB. We find that the model is efficient, accurate and has a relatively simple calibration procedure. In back-tests, it is determined that the Heston- Hull&White model produces better hedging profit and loss results than a Heston (1993) or a Black and Scholes (1973) model.en_ZA
dc.identifier.apacitationMaze, S. (2014). <i>Efficient implementation of the Heston-Hull & White model</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/8521en_ZA
dc.identifier.chicagocitationMaze, Sheldon. <i>"Efficient implementation of the Heston-Hull & White model."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014. http://hdl.handle.net/11427/8521en_ZA
dc.identifier.citationMaze, S. 2014. Efficient implementation of the Heston-Hull & White model. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Maze, Sheldon AB - A model with a stochastic interest rate process correlated to a stochastic volatility process is needed to accurately price long- dated contingent claims. Such a model should also price claims efficiently in order to allow for fast calibration. This dissertation explores the approximations for the characteristic function of the Heston-Hull&White model introduced by Grzelak and Oost- erlee (2011). Fourier-Cosine expansion pricing, due to Fang and Oosterlee (2008), is then used to price contingent claims under this model, which is implemented in MATLAB. We find that the model is efficient, accurate and has a relatively simple calibration procedure. In back-tests, it is determined that the Heston- Hull&White model produces better hedging profit and loss results than a Heston (1993) or a Black and Scholes (1973) model. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Efficient implementation of the Heston-Hull & White model TI - Efficient implementation of the Heston-Hull & White model UR - http://hdl.handle.net/11427/8521 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8521
dc.identifier.vancouvercitationMaze S. Efficient implementation of the Heston-Hull & White model. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8521en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.titleEfficient implementation of the Heston-Hull & White modelen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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