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Title: Efficient tree methods for option pricing
Tutor: Caramellino, Lucia
Zanette, Antonino
Keywords: tree methods
option pricing
convergence of Markov chains to diffusion
rate of convergence of a tree scheme
Issue Date: 14-Mar-2014
Abstract: The aim of this dissertation is the study of efficient algorithms based on lattice procedures for dealing with two relevant issues arising in the recent literature on option pricing: the pricing of complex barrier-type options and the pricing of options when the equity model takes into account a stochastic interest rate. This research is developed with a twofold perspective: first, we propose a good solution from a numerical point of view through the introduction of efficient lattice procedures and secondly, we study the theoretical aspects related to the tackled problems (such as the convergence and the rate of convergence of the scheme proposed).
Research interests: tree methods, convergence of Markov chains to diffusions, rate of convergence of numerical tree schemes
Personal skills keywords: computer programmin (C, Matlab)
teaching experience
languages (English, French)

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