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Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/6878
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
URI: http://hdl.handle.net/1783.1/6878
Appears in Collections:MATH Master Theses

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