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Efficient implementation of the Heston-Hull & White model
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2014
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| _version_ | 1867613246685446144 |
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| access_status_str | Open Access |
| author | Maze, Sheldon |
| author2 | Dos Santos, Moses |
| author_browse | Dos Santos, Moses Maze, Sheldon |
| author_facet | Dos Santos, Moses Maze, Sheldon |
| author_sort | Maze, Sheldon |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8521 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:05.164Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8521 Efficient implementation of the Heston-Hull & White model Maze, Sheldon Dos Santos, Moses Van Rooyen, Marchand Includes bibliographical references. 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. 2014-10-17T10:09:49Z 2014-10-17T10:09:49Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/8521 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Maze, Sheldon Efficient implementation of the Heston-Hull & White model |
| thesis_degree_str | Master's |
| title | Efficient implementation of the Heston-Hull & White model |
| title_full | Efficient implementation of the Heston-Hull & White model |
| title_fullStr | Efficient implementation of the Heston-Hull & White model |
| title_full_unstemmed | Efficient implementation of the Heston-Hull & White model |
| title_short | Efficient implementation of the Heston-Hull & White model |
| title_sort | efficient implementation of the heston hull white model |
| url | http://hdl.handle.net/11427/8521 |
| work_keys_str_mv | AT mazesheldon efficientimplementationofthehestonhullwhitemodel |