A Bayesian approach to financial model calibration, uncertainty measures and optimal hedging
In this thesis we address problems associated with financial modelling from a Bayesian point of view. Specifically, we look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal hedging strategy. Throughout the study, the local volatility...
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| Format: | Thesis |
| Language: | English |
| Published: |
2010
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