EQ-IR Hybrid Models For Pricing Autocallable Structures

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Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/12060

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DC Field	Value	Language
dc.contributor.advisor	Virmani, Vineet
dc.contributor.author	Nag, Rohan
dc.contributor.author	Garg, Sameer
dc.date.accessioned	2014-07-03T04:52:25Z
dc.date.available	2014-07-03T04:52:25Z
dc.date.copyright	2013-01-09
dc.date.issued	2013
dc.identifier.uri	http://hdl.handle.net/11718/12060
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	Indian Institute of Management Ahmedabad	en_US
dc.relation.ispartofseries	SP;1848
dc.subject	EQ- IR Hybrid volatility models	en_US
dc.subject	Autocallable	en_US
dc.subject	Hull- White model	en_US
dc.title	EQ-IR Hybrid Models For Pricing Autocallable Structures	en_US
dc.type	Student Project	en_US
Appears in Collections:	Student Projects

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