Robust methods for the SABR model and related processes

Analysis, asymptotics and numerics
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Author
Horvath, Blanka N.
Date
2015
Type
    Doctoral Thesis
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-a-010604629
Publication status
published
External links
Search print copy at ETH Library
Contributors
Examiner: Teichmann, Josef
Examiner: Muhle-Karbe, Johannes
Publisher
ETH-Zürich
Subject
VOLATILITÄT (FINANZEN); STOCHASTIC MODELS + STOCHASTIC SIMULATION (PROBABILITY THEORY); STOCHASTISCHE MODELLE + STOCHASTISCHE SIMULATION (WAHRSCHEINLICHKEITSRECHNUNG); PORTFOLIOTHEORIE (OPERATIONS RESEARCH); PORTFOLIO SELECTION (OPERATIONS RESEARCH); VOLATILITY (FINANCE); SPECIAL STOCHASTIC PROCESSES (PROBABILITY THEORY); SPEZIELLE STOCHASTISCHE PROZESSE (WAHRSCHEINLICHKEITSRECHNUNG)
Organisational unit
03845 - Teichmann, Josef / Teichmann, Josef  
02000 - Dep. Mathematik / Dep. of Mathematics
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