Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
A comprehensive view of Markov-Functional models and their application
Includes bibliographical references.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2016
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613312546504704 |
|---|---|
| access_status_str | Open Access |
| author | Lapere, Michael |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Lapere, Michael |
| author_facet | Becker, Ronald Lapere, Michael |
| author_sort | Lapere, Michael |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/19132 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:08.683Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/19132 A comprehensive view of Markov-Functional models and their application Lapere, Michael Becker, Ronald Mathematical Finance Includes bibliographical references. Markov-Functional models are a very powerful class of market models which calibrate and compute prices and Greeks quickly. This dissertation explains, in detail, how Markov-Functional models work as well as discussing all of the specific models developed in the literature. It contains the key points that can be found in the present literature. We explain, in detail, all of the concepts, from the theoretical framework down to the numerical implementation of the specific models. This involves explaining the framework for Markov-Functional models, describing specific models, obtaining a deeper understanding of how the model parameters affect the results, discussing the issues involved in the implementation, implementing various models and investigating the effect of numerical and market parameters on the outcome. Various concepts, not discussed in the present literature, such as considerations for selecting a discretization grid for the numerical implementation, are developed. The practical application of Markov-Functional models is considered as well as alternative fields, such as Actuarial science, where the model can be applied. In summary, this dissertation embodies a complete discussion of the current class of Markov-Functional models. 2016-04-22T13:33:54Z 2016-04-22T13:33:54Z 2006 Master Thesis Masters MSc http://hdl.handle.net/11427/19132 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematical Finance Lapere, Michael A comprehensive view of Markov-Functional models and their application |
| thesis_degree_str | Master's |
| title | A comprehensive view of Markov-Functional models and their application |
| title_full | A comprehensive view of Markov-Functional models and their application |
| title_fullStr | A comprehensive view of Markov-Functional models and their application |
| title_full_unstemmed | A comprehensive view of Markov-Functional models and their application |
| title_short | A comprehensive view of Markov-Functional models and their application |
| title_sort | comprehensive view of markov functional models and their application |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/19132 |
| work_keys_str_mv | AT laperemichael acomprehensiveviewofmarkovfunctionalmodelsandtheirapplication AT laperemichael comprehensiveviewofmarkovfunctionalmodelsandtheirapplication |