Stochastic dependencies in derivative pricing: Decoupled BNS-volatility, sequential modeling of jumps, and extremal WWR

Schulz, Thorsten

Thorsten Schulz

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Original title:: Stochastic dependencies in derivative pricing: Decoupled BNS-volatility, sequential modeling of jumps, and extremal WWR
Translated title:: Stochastische Abhängigkeiten in der Derivatebewertung: Entkoppelte BNS-Volatilität, sequentielles Modellieren von Sprüngen, und extremes WWR
Author:: Schulz, Thorsten
Year:: 2017
Document type:: Dissertation
Faculty/School:: Fakultät für Mathematik
Advisor:: Scherer, Matthias (Prof. Dr.)
Referee:: Scherer, Matthias (Prof. Dr.); Deelstra, Griselda (Prof.); Werner, Ralf (Prof. Dr.)
Language:: en
Subject group:: MAT Mathematik; WIR Wirtschaftswissenschaften
TUM classification:: WIR 150d; MAT 600d
Abstract:: Based on joint subordination, dependent multi-dimensional compound Poisson processes are constructed. The time-changed processes are used to introduce a new stochastic volatility model for asset price returns and to build multi-dimensional generalizations of popular univariate jump-diffusion models. Moreover, worst-case dependence structures between portfolio values and the default times of the contractual parties to a derivative transaction, which lead to extremal wrong-way risk, are established. «
Based on joint subordination, dependent multi-dimensional compound Poisson processes are constructed. The time-changed processes are used to introduce a new stochastic volatility model for asset price returns and to build multi-dimensional generalizations of popular univariate jump-diffusion models. Moreover, worst-case dependence structures between portfolio values and the default times of the contractual parties to a derivative transaction, which lead to extremal wrong-way risk, are establishe... »
Translated abstract:: Basierend auf gemeinsamer Subordination werden mehrdimensionale zusammengesetzte Poissonprozesse konstruiert um ein neues stochastisches Volatilitätsmodell einzuführen und bekannte eindimensionale Sprung-Diffusions-Modelle mehrdimensional zu erweitern. Zudem werden Worst-Case Abhängigkeitsstrukturen zwischen dem Portfoliowert und den Ausfallszeiten der Vertragspartner einer Derivatetransaktion ermittelt, die zu extremen Wrong-Way-Risk führen.
WWW:: https://mediatum.ub.tum.de/?id=1363151
Date of submission:: 06.06.2017
Oral examination:: 25.10.2017
File size:: 1431726 bytes
Pages:: 161
Urn (citeable URL):: https://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:91-diss-20171025-1363151-1-3
Last change:: 23.11.2017
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