A comprehensive view of Markov-Functional models and their application

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dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.authorLapere, Michaelen_ZA
dc.date.accessioned2016-04-22T13:33:54Z
dc.date.available2016-04-22T13:33:54Z
dc.date.issued2006en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractMarkov-Functional models are a very powerful class of market models which calibrate and compute prices and Greeks quickly. This dissertation explains, in detail, how Markov-Functional models work as well as discussing all of the specific models developed in the literature. It contains the key points that can be found in the present literature. We explain, in detail, all of the concepts, from the theoretical framework down to the numerical implementation of the specific models. This involves explaining the framework for Markov-Functional models, describing specific models, obtaining a deeper understanding of how the model parameters affect the results, discussing the issues involved in the implementation, implementing various models and investigating the effect of numerical and market parameters on the outcome. Various concepts, not discussed in the present literature, such as considerations for selecting a discretization grid for the numerical implementation, are developed. The practical application of Markov-Functional models is considered as well as alternative fields, such as Actuarial science, where the model can be applied. In summary, this dissertation embodies a complete discussion of the current class of Markov-Functional models.en_ZA
dc.identifier.apacitationLapere, M. (2006). <i>A comprehensive view of Markov-Functional models and their application</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/19132en_ZA
dc.identifier.chicagocitationLapere, Michael. <i>"A comprehensive view of Markov-Functional models and their application."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2006. http://hdl.handle.net/11427/19132en_ZA
dc.identifier.citationLapere, M. 2006. A comprehensive view of Markov-Functional models and their application. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Lapere, Michael AB - Markov-Functional models are a very powerful class of market models which calibrate and compute prices and Greeks quickly. This dissertation explains, in detail, how Markov-Functional models work as well as discussing all of the specific models developed in the literature. It contains the key points that can be found in the present literature. We explain, in detail, all of the concepts, from the theoretical framework down to the numerical implementation of the specific models. This involves explaining the framework for Markov-Functional models, describing specific models, obtaining a deeper understanding of how the model parameters affect the results, discussing the issues involved in the implementation, implementing various models and investigating the effect of numerical and market parameters on the outcome. Various concepts, not discussed in the present literature, such as considerations for selecting a discretization grid for the numerical implementation, are developed. The practical application of Markov-Functional models is considered as well as alternative fields, such as Actuarial science, where the model can be applied. In summary, this dissertation embodies a complete discussion of the current class of Markov-Functional models. DA - 2006 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2006 T1 - A comprehensive view of Markov-Functional models and their application TI - A comprehensive view of Markov-Functional models and their application UR - http://hdl.handle.net/11427/19132 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/19132
dc.identifier.vancouvercitationLapere M. A comprehensive view of Markov-Functional models and their application. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2006 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/19132en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleA comprehensive view of Markov-Functional models and their applicationen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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