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|Title: ||Cross-curreny [i.e. currency] LIBOR market model with stochastic volatilities|
|Other Titles: ||Cross-currency LIBOR market model with stochastic volatilities|
|Authors: ||Ma, Kai|
|Issue Date: ||2010 |
|Abstract: ||This thesis presents a tractable and flexible LIBOR market model with multi-factor stochastic volatilities is well developed. This model takes the following form: multi-stochastic factors are adopted for forward-rate volatilities, and each factor follows a square-root process (CIR process), and correlations between the forward rates and the stochastic factors. The forward LIBOR market model is extended to a cross-currency setting. Foreign caps and floors, and cross-currency swaps are studied in detail in the framework of cross-currency LIBOR market model with stochastic volatilities. Approximate closed-form pricing formulas based on moment generating function are derived. Lastly, the stochastic volatility LIBOR market model is calibrated to USD caps market.
Keywords: multi-factor stochastic volatility LIBOR market model, caps and floors, cross-currency LIBOR market, cross-currency swaps, calibration|
|Description: ||Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2010|
x, 53 p. : ill. ; 30 cm
HKUST Call Number: Thesis MATH 2010 Ma
|Appears in Collections:||MATH Master Theses |
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