DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kang, Wanmo | - |
dc.contributor.advisor | 강완모 | - |
dc.contributor.author | Lee, Taeho | - |
dc.date.accessioned | 2022-04-15T01:54:35Z | - |
dc.date.available | 2022-04-15T01:54:35Z | - |
dc.date.issued | 2021 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=962388&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/294687 | - |
dc.description.abstract | We study two important issues that arise in modern mathematical finance. The first issue is the estimation of a path-dependent derivative. Unlike a vanilla option, path-dependent derivatives have no closed-form solution for its value and Greeks in general. Hence the general approach is to use the Euler scheme but it has the shortcoming that the simulation results have bias. To resolve this, we devise an exact simulation scheme for the boundary hitting time of Brownian motion, and then we use this to estimate the value and the Greeks of a path-dependent derivative efficiently. The second issue is the correlation skew in equity markets that stand out especially when market collapses. Though there have been an evident correlation skew in equity markets, most of models handle the correlation as a fixed constant derived from its historical correlation. To reflect this phenomenon to the modelling and to the estimation of multi-asset derivatives, we derive a local correlation model of which dynamic is determined by the volatilities of underlying assets. And we demonstrate from experiments that our correlation model outperforms the use of a historical correlation in its forecasting ability. | - |
dc.language | eng | - |
dc.title | Quantitative approaches to modelling and simulation in some problems of mathematical finance | - |
dc.title.alternative | 금융수학의 모델링과 시뮬레이션 문제들에 대한 계량적 접근 | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :수리과학과, | - |
dc.description.isOpenAccess | 학위논문(박사) - 한국과학기술원 : 수리과학과, 2021.8,[v, 56 p. :] | - |
dc.publisher.country | 한국과학기술원 | - |
dc.type.journalArticle | Thesis(Ph.D) | - |
dc.contributor.alternativeauthor | 이태호 | - |
dc.subject.keywordAuthor | Brownian motion▼aExact simulation scheme▼aBoundary hitting time▼aPath-dependent derivatives▼aGreeks▼aLocal correlation model | - |
dc.subject.keywordAuthor | 브라운 운동▼a완전 실험법▼a경계 도달 시간▼a경로 의존성 파생상품▼a파생상품 민감도▼a지역 상관계수 모델 | - |
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