國立虎尾科技大學 |

Stochastic volatility models with applications in finance.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Stochastic volatility models with applications in finance./
Author:	Zhao, Ze.
Description:	1 online resource (120 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-08(E), Section: B.
Contained By:	Dissertation Abstracts International78-08B(E).
Subject:	Applied mathematics. -
Online resource:	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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008 190606s2016 xx obm 000 0 eng d
020 $a 9781369624304
035 $a (MiAaPQ)AAI10240981
035 $a (MiAaPQ)uiowa:14794
035 $a AAI10240981
040 $a MiAaPQ $b eng $c MiAaPQ
099 $a TUL $f hyy $c available through World Wide Web
100 1 $a Zhao, Ze. $3 1179129
245 1 0 $a Stochastic volatility models with applications in finance.
264 0 $c 2016
300 $a 1 online resource (120 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 78-08(E), Section: B.
500 $a Adviser: Palle Jorgensen.
502 $a Thesis (Ph.D.) $c The University of Iowa $d 2016.
504 $a Includes bibliographical references
520 $a 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.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Applied mathematics. $3 1069907
650 4 $a Finance. $3 559073
650 4 $a Statistics. $3 556824
655 7 $a Electronic books. $2 local $3 554714
690 $a 0364
690 $a 0508
690 $a 0463
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a The University of Iowa. $b Applied Mathematical and Computational Sciences. $3 1179130
773 0 $t Dissertation Abstracts International $g 78-08B(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10240981 $z click for full text (PQDT)