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Characteristic function pricing with the Heston-LIBOR hybrid model
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...
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| Format: | Thesis |
| Language: | English |
| Published: |
African Institute of Financial Markets and Risk Management
2020
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| _version_ | 1867613344244957184 |
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| access_status_str | Open Access |
| author | Sterley, Christopher |
| author2 | Ouwehand, Peter |
| author_browse | Ouwehand, Peter Sterley, Christopher |
| author_facet | Ouwehand, Peter Sterley, Christopher |
| author_sort | Sterley, Christopher |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/31273 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:39.078Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| publisher | African Institute of Financial Markets and Risk Management |
| publisherStr | African Institute of Financial Markets and Risk Management |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/31273 Characteristic function pricing with the Heston-LIBOR hybrid model Sterley, Christopher Ouwehand, Peter McWalter, Thomas Mathematical Finance 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. 2020-02-24T12:40:52Z 2020-02-24T12:40:52Z 2019 2020-02-24T09:44:43Z Master Thesis Masters MPhil http://hdl.handle.net/11427/31273 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce |
| spellingShingle | Mathematical Finance Sterley, Christopher Characteristic function pricing with the Heston-LIBOR hybrid model |
| thesis_degree_str | Master's |
| title | Characteristic function pricing with the Heston-LIBOR hybrid model |
| title_full | Characteristic function pricing with the Heston-LIBOR hybrid model |
| title_fullStr | Characteristic function pricing with the Heston-LIBOR hybrid model |
| title_full_unstemmed | Characteristic function pricing with the Heston-LIBOR hybrid model |
| title_short | Characteristic function pricing with the Heston-LIBOR hybrid model |
| title_sort | characteristic function pricing with the heston libor hybrid model |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/31273 |
| work_keys_str_mv | AT sterleychristopher characteristicfunctionpricingwiththehestonliborhybridmodel |