IIMA Institutional Repository
This Institutional Repository has been created to collect, preserve and distribute the scholarly output of Indian Institute of Management, Ahmedabad. This will work as an important tool to facilitate scholarly communication and preserve the institution knowledge. The Vikram Sarabhai Library is proud to be hosting the repository for the dissemination and preservation of this valuable knowledge resource of the IIMA community.
Please use this identifier to cite or link to this item:
http://hdl.handle.net/11718/12060| Title: | EQ-IR Hybrid Models For Pricing Autocallable Structures |
| Authors: | Nag, Rohan Garg, Sameer |
| Keywords: | EQ- IR Hybrid volatility models;Autocallable;Hull- White model |
| Issue Date: | 2013 |
| Publisher: | Indian Institute of Management Ahmedabad |
| Series/Report no.: | SP;1848 |
| Abstract: | This project investigates the effect of EQ-IR correlation in pricing autocallable structures. We implement a hybrid Hull- White model to empirically demonstrate and quantify the effect of such a correlation on the price of an autocallable . We also run tests to the sensitivity of our pricing engine to changes in market data and structural as well as model parameters. |
| URI: | http://hdl.handle.net/11718/12060 |
| Appears in Collections: | Student Projects |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| SP_1848.pdf Restricted Access | 980.13 kB | Adobe PDF | View/Open Request a copy |
Items in IIMA Institutional Repository are protected by copyright, with all rights reserved, unless otherwise indicated.