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Document type:
Diplomarbeit 
Author(s):
Martinus, Thomas 
Title:
Calibration of Stochastic Volatility Models 
Abstract:
This thesis deals with the calibration of stochastic volatility models. We analyze the Heston model as well as a jump-extension, the Bates model. The main goal is to provide a guideline along the way of model implementation and usage, as well as to analyze the differences, advantages and disadvantages of the two models. After deducting the pricing formulas of both models, we approach the problem of model calibration. Here we apply the Fast Fourier Transformation in order to accelerate the calibr...    »
 
Advisor:
Dorian Ruffini (Assenagon) 
Referee:
Prof. Dr. Rudi Zagst 
Year:
2009 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
Format:
Text