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Implementation of numerical Fourier method for second order Taylor schemes
The problem of pricing contingent claims in a complete market has received a significant amount of attention in literature since the seminal work of Black, Fischer and Scholes, Myron (1973). It was also in 1973 that the theory of backward stochastic differential equations (BSDEs) was developed by Bi...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2020
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| _version_ | 1867613248972390400 |
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| access_status_str | Open Access |
| author | Mashalaba, Qaphela |
| author2 | McWalter, Thomas |
| author_browse | Mashalaba, Qaphela McWalter, Thomas |
| author_facet | McWalter, Thomas Mashalaba, Qaphela |
| author_sort | Mashalaba, Qaphela |
| collection | Thesis |
| description | The problem of pricing contingent claims in a complete market has received a significant amount of attention in literature since the seminal work of Black, Fischer and Scholes, Myron (1973). It was also in 1973 that the theory of backward stochastic differential equations (BSDEs) was developed by Bismut, Jean-Michel (1973), but it was much later in the literature that BSDEs developed links to contingent claim pricing. This dissertation is a thorough exposition of the survey paper Ruijter, Marjon J and Oosterlee, Cornelis W (2016) in which a highly accurate and efficient Fourier pricing technique compatible with BSDEs is developed and implemented. We prove our understanding of this technique by reproducing some of the numerical experiments and results in Ruijter, Marjon J and Oosterlee, Cornelis W (2016), and outlining some key implementationl considerations. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/30978 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:08.525Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| publisher | African Institute of Financial Markets and Risk Management |
| publisherStr | African Institute of Financial Markets and Risk Management |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/30978 Implementation of numerical Fourier method for second order Taylor schemes Mashalaba, Qaphela McWalter, Thomas Mathematical Finance The problem of pricing contingent claims in a complete market has received a significant amount of attention in literature since the seminal work of Black, Fischer and Scholes, Myron (1973). It was also in 1973 that the theory of backward stochastic differential equations (BSDEs) was developed by Bismut, Jean-Michel (1973), but it was much later in the literature that BSDEs developed links to contingent claim pricing. This dissertation is a thorough exposition of the survey paper Ruijter, Marjon J and Oosterlee, Cornelis W (2016) in which a highly accurate and efficient Fourier pricing technique compatible with BSDEs is developed and implemented. We prove our understanding of this technique by reproducing some of the numerical experiments and results in Ruijter, Marjon J and Oosterlee, Cornelis W (2016), and outlining some key implementationl considerations. 2020-02-11T07:44:03Z 2020-02-11T07:44:03Z 2019 2020-01-29T09:44:39Z Master Thesis Masters MPhil http://hdl.handle.net/11427/30978 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce |
| spellingShingle | Mathematical Finance Mashalaba, Qaphela Implementation of numerical Fourier method for second order Taylor schemes |
| thesis_degree_str | Master's |
| title | Implementation of numerical Fourier method for second order Taylor schemes |
| title_full | Implementation of numerical Fourier method for second order Taylor schemes |
| title_fullStr | Implementation of numerical Fourier method for second order Taylor schemes |
| title_full_unstemmed | Implementation of numerical Fourier method for second order Taylor schemes |
| title_short | Implementation of numerical Fourier method for second order Taylor schemes |
| title_sort | implementation of numerical fourier method for second order taylor schemes |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/30978 |
| work_keys_str_mv | AT mashalabaqaphela implementationofnumericalfouriermethodforsecondordertaylorschemes |