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Dokumenttyp:
Masterarbeit 
Autor(en):
Panz, Sven 
Titel:
Pricing multiple barrier derivatives under stochastic volatility and random covariance 
Abstract:
This thesis presents two comprehensive extensions of pricing n-dimensional derivativesndepending on two barrier constraints. The first generalization focuses on the relaxation of the constant volatility assumption and introduces stochastic volatility as an additional source of uncertainty. To study the impact of stochastic volatility parameters we analyze multidimensional structured products which gained increasing popularity after the subprime and financial crisis. The second extension covers t...    »
 
Aufgabensteller:
Prof. Dr. Rudi Zagst, Prof. Dr. Marcos Escobar 
Betreuer:
Prof. Dr. Marcos Escobar 
Jahr:
2015 
Hinweise:
Diese Masterarbeit entstand im Rahmen des Elitenetzwerkstudiengangs Finanz- und Informationsmanagement(FIM). 
Hochschule / Universität:
Technische Universität München 
Bearbeitungsende:
09.09.2015