Thesis
Model calibration with optimal transport: stochastic interest rates and Bass interpolation
- Abstract:
-
We introduce a non-parametric, optimal transport driven method of calibrating a two dimensional log-stock and stochastic interest rate model. The method finds a fully calibrated model which is the closest (in a way that can be defined by a general cost function) to a given reference model. We first use the Markovian projection results of Gyongy, 1986; Brunick and Shreeve, 2013 to reduce to models that are Markov in the state variables and stochastic discount factor. Our main theoretical co...
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Authors
Contributors
+ Obloj, J
- Institution:
- University of Oxford
- Division:
- MPLS
- Department:
- Mathematical Institute
- Role:
- Supervisor
- ORCID:
- 0000-0002-5686-5498
+ Loeper, G
- Role:
- Supervisor
+ Engineering and Physical Sciences Research Council
More from this funder
- Funder identifier:
- https://ror.org/0439y7842
- Funding agency for:
- Joseph, B
- Grant:
- EP/S023925/1
- Programme:
- CDT Random Systems: Analysis, Modelling, and Algorithms
- DOI:
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- University of Oxford
- Language:
-
English
- Keywords:
- Subjects:
- Deposit date:
-
2025-02-20
Terms of use
- Copyright holder:
- Benjamin Joseph
- Copyright date:
- 2024
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