Robust methods for the SABR model and related processes
Analysis, asymptotics and numerics
dc.contributor.author
Horvath, Blanka N.
dc.contributor.supervisor
Teichmann, Josef
dc.contributor.supervisor
Muhle-Karbe, Johannes
dc.date.accessioned
2018-02-08T08:26:06Z
dc.date.available
2017-06-12T02:07:43Z
dc.date.available
2018-02-08T08:26:06Z
dc.date.issued
2015
dc.identifier.uri
http://hdl.handle.net/20.500.11850/113809
dc.identifier.doi
10.3929/ethz-a-010604629
dc.format
application/pdf
dc.language.iso
en
en_US
dc.publisher
ETH-Zürich
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
VOLATILITÄT (FINANZEN)
en_US
dc.subject
STOCHASTIC MODELS + STOCHASTIC SIMULATION (PROBABILITY THEORY)
en_US
dc.subject
STOCHASTISCHE MODELLE + STOCHASTISCHE SIMULATION (WAHRSCHEINLICHKEITSRECHNUNG)
en_US
dc.subject
PORTFOLIOTHEORIE (OPERATIONS RESEARCH)
en_US
dc.subject
PORTFOLIO SELECTION (OPERATIONS RESEARCH)
en_US
dc.subject
VOLATILITY (FINANCE)
en_US
dc.subject
SPECIAL STOCHASTIC PROCESSES (PROBABILITY THEORY)
en_US
dc.subject
SPEZIELLE STOCHASTISCHE PROZESSE (WAHRSCHEINLICHKEITSRECHNUNG)
en_US
dc.title
Robust methods for the SABR model and related processes
en_US
dc.type
Doctoral Thesis
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2016
ethz.title.subtitle
Analysis, asymptotics and numerics
en_US
ethz.size
1 Band
en_US
ethz.code.ddc
DDC - DDC::5 - Science::510 - Mathematics
en_US
ethz.code.ddc
DDC - DDC::5 - Science::510 - Mathematics
en_US
ethz.identifier.diss
22945
en_US
ethz.identifier.nebis
010604629
ethz.publication.place
Zürich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.date.deposited
2017-06-12T02:09:45Z
ethz.source
ECOL
ethz.source
ECIT
ethz.identifier.importid
imp59366b894dbe361218
ethz.identifier.importid
imp5936542f74ca387685
ethz.ecolpid
eth:48730
ethz.ecitpid
pub:175544
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-13T04:40:59Z
ethz.rosetta.lastUpdated
2021-02-14T22:15:09Z
ethz.rosetta.versionExported
true
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Doctoral Thesis [29155]