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Lévy Factor Models for Financial Applications

Cantia, Catalin (2016) Lévy Factor Models for Financial Applications. Doctor of Philosophy (PhD) thesis, University of Kent,. (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:54734)

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Abstract

In this thesis we bring a series of contributions to the topic of multivariate asset modelling with

In the first part of the thesis (chapters 2, 3 and 4) we look at equity modelling by factor models obtained by multivariate subordination of Lévy basis and discuss multi-asset derivative pricing by Fourier transform methods. More specifically, in the second chapter we propose a construction method for obtaining factor models based on multivariate subordination which extends the results of Barndorff-Nielsen et al. (2001). A lemma describing the characteristic function for the entire class of models is provided which opens the gates for multi-asset derivative pricing by Fourier transform methods under this class of models. Classification, parametrisation and the dependence structure details for the models in this class are then discussed in the second part of the chapter. The chapters 3 and 4 propose each a different three-factor model for the evolution of equity returns and provide the details of martingale asset pricing, calibration and multi-asset derivative pricing methods under

In the second part of the thesis (chapter 5) we look at the multi-name credit modelling in the context of factor models built by time-changes. Specifically, we propose a factor extension of the univariate default model proposed in Packham et al. (2013)and then we discuss the calibration and the pricing methodology (including details of their implementation) for single-name and multi-name credit derivatives contracts. The specific applications that are treated are the pricing and calibration on Credit Default Swaps, Credit Index Default Swaps and Index Tranches (synthetic CDOs).

Item Type: Thesis (Doctor of Philosophy (PhD))
Thesis advisor: Tunaru, Radu
Thesis advisor: Voukelatos, Nikolaos
Uncontrolled keywords: factor models, levy, Lévy, common jumps
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculties > Social Sciences > School of Economics
Depositing User: Users 1 not found.
Date Deposited: 30 Mar 2016 17:00 UTC
Last Modified: 06 May 2020 03:14 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/54734 (The current URI for this page, for reference purposes)
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