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Application of Effective Markovian Projection to SABR and Heston Models
Model flexibility is often at odds with tractable pricing, and models with tractable pricing often lack flexibility. This poses an issue when calibrating a model to market data where tractability and flexibility are both required. We investigate an approach that allows one model to be projected onto...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2024
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