Characteristic function pricing with the Heston-LIBOR hybrid model

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dc.contributor.advisorOuwehand, Peter
dc.contributor.advisorMcWalter, Thomas
dc.contributor.authorSterley, Christopher
dc.date.accessioned2020-02-24T12:40:52Z
dc.date.available2020-02-24T12:40:52Z
dc.date.issued2019
dc.date.updated2020-02-24T09:44:43Z
dc.description.abstractWe derive an approximate characteristic function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived in this dissertation as well as the one derived by Grzelak and Oosterlee. The ultimate aim of the dissertation is to prevent these characteristic functions from exploding for given parameter values.
dc.identifier.apacitationSterley, C. (2019). <i>Characteristic function pricing with the Heston-LIBOR hybrid model</i>. (). ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/31273en_ZA
dc.identifier.chicagocitationSterley, Christopher. <i>"Characteristic function pricing with the Heston-LIBOR hybrid model."</i> ., ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019. http://hdl.handle.net/11427/31273en_ZA
dc.identifier.citationSterley, C. 2019. Characteristic function pricing with the Heston-LIBOR hybrid model.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Sterley, Christopher AB - We derive an approximate characteristic function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived in this dissertation as well as the one derived by Grzelak and Oosterlee. The ultimate aim of the dissertation is to prevent these characteristic functions from exploding for given parameter values. DA - 2019 DB - OpenUCT DP - University of Cape Town KW - Mathematical Finance LK - https://open.uct.ac.za PY - 2019 T1 - Characteristic function pricing with the Heston-LIBOR hybrid model TI - Characteristic function pricing with the Heston-LIBOR hybrid model UR - http://hdl.handle.net/11427/31273 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/31273
dc.identifier.vancouvercitationSterley C. Characteristic function pricing with the Heston-LIBOR hybrid model. []. ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/31273en_ZA
dc.language.rfc3066eng
dc.publisher.departmentAfrican Institute of Financial Markets and Risk Management
dc.publisher.facultyFaculty of Commerce
dc.subjectMathematical Finance
dc.titleCharacteristic function pricing with the Heston-LIBOR hybrid model
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhil
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