Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/12060
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dc.contributor.advisorVirmani, Vineet
dc.contributor.authorNag, Rohan
dc.contributor.authorGarg, Sameer
dc.date.accessioned2014-07-03T04:52:25Z
dc.date.available2014-07-03T04:52:25Z
dc.date.copyright2013-01-09
dc.date.issued2013
dc.identifier.urihttp://hdl.handle.net/11718/12060
dc.description.abstractThis 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.en_US
dc.language.isoenen_US
dc.publisherIndian Institute of Management Ahmedabaden_US
dc.relation.ispartofseriesSP;1848
dc.subjectEQ- IR Hybrid volatility modelsen_US
dc.subjectAutocallableen_US
dc.subjectHull- White modelen_US
dc.titleEQ-IR Hybrid Models For Pricing Autocallable Structuresen_US
dc.typeStudent Projecten_US
Appears in Collections:Student Projects

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