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Implementation of Bivariate Unspanned Stochastic Volatility Models
Unspanned stochastic volatility term structure models have gained popularity in the literature. This dissertation focuses on the challenges of implementing the simplest case – bivariate unspanned stochastic volatility models, where there is one state variable controlling the term structure, and one...
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| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2019
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