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Stochastic volatility models with ap...
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Zhao, Ze.
Stochastic volatility models with applications in finance.
紀錄類型:
書目-語言資料,手稿 : Monograph/item
正題名/作者:
Stochastic volatility models with applications in finance./
作者:
Zhao, Ze.
面頁冊數:
1 online resource (120 pages)
附註:
Source: Dissertation Abstracts International, Volume: 78-08(E), Section: B.
Contained By:
Dissertation Abstracts International78-08B(E).
標題:
Applied mathematics. -
電子資源:
click for full text (PQDT)
ISBN:
9781369624304
Stochastic volatility models with applications in finance.
Zhao, Ze.
Stochastic volatility models with applications in finance.
- 1 online resource (120 pages)
Source: Dissertation Abstracts International, Volume: 78-08(E), Section: B.
Thesis (Ph.D.)
Includes bibliographical references
Derivative pricing, model calibration, and sensitivity analysis are the three main problems in financial modeling. The purpose of this study is to present an algorithm to improve the pricing process, the calibration process, and the sensitivity analysis of the double Heston model, in the sense of accuracy and efficiency. Using the optimized caching technique, our study reduces the pricing computation time by about 15%. Another contribution of this thesis is: a novel application of the Automatic Differentiation (AD) algorithms in order to achieve a more stable, more accurate, and faster sensitivity analysis for the double Heston model (compared to the classical finite difference methods). This thesis also presents a novel hybrid model by combing the heuristic method Differentiation Evolution, and the gradient method Levenberg--Marquardt algorithm. Our new hybrid model significantly accelerates the calibration process.
Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018
Mode of access: World Wide Web
ISBN: 9781369624304Subjects--Topical Terms:
1069907
Applied mathematics.
Index Terms--Genre/Form:
554714
Electronic books.
Stochastic volatility models with applications in finance.
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Derivative pricing, model calibration, and sensitivity analysis are the three main problems in financial modeling. The purpose of this study is to present an algorithm to improve the pricing process, the calibration process, and the sensitivity analysis of the double Heston model, in the sense of accuracy and efficiency. Using the optimized caching technique, our study reduces the pricing computation time by about 15%. Another contribution of this thesis is: a novel application of the Automatic Differentiation (AD) algorithms in order to achieve a more stable, more accurate, and faster sensitivity analysis for the double Heston model (compared to the classical finite difference methods). This thesis also presents a novel hybrid model by combing the heuristic method Differentiation Evolution, and the gradient method Levenberg--Marquardt algorithm. Our new hybrid model significantly accelerates the calibration process.
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Ann Arbor, Mich. :
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2018
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Applied mathematics.
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click for full text (PQDT)
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