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Thesis

A Bayesian approach to financial model calibration, uncertainty measures and optimal hedging

Abstract:

In this thesis we address problems associated with financial modelling from a Bayesian point of view. Specifically, we look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal hedging strategy. Throughout the study, the local volatility model is used as a working example to clarify the proposed methods. This thesis assumes a prior probability density for the unknown parameter in a model we try to calibrate. The prior probability ...

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Research group:
Mathematical & Computational Finance Group
Oxford college:
Hertford College
Role:
Author

Contributors

Role:
Supervisor
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Name:
"EPSRC", "Nomura Bank"
Funding agency for:
Gupta, A
Publication date:
2010
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
Language:
English
Keywords:
Subjects:
UUID:
uuid:6158b433-20b6-4f8b-9199-895ced574330
Local pid:
ora:3587
Deposit date:
2010-03-29

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