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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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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Oxford college:
Christ Church
Role:
Author
ORCID:
0000-0003-1041-9975

Contributors

Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Supervisor
ORCID:
0000-0002-5686-5498
Role:
Supervisor


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

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