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Modelling Equities with a Stochastic Volatility Jump Diffusion
The Bates model provides a parsimonious fit to implied volatility surfaces, and its usefulness in developed markets is well documented. However, there is a lack of research assessing its applicability to developing markets. Additionally, research surrounding its usefulness for hedging long term liab...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2019
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