Browsing by Author "Nag, Rohan"

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    • EQ-IR Hybrid Models For Pricing Autocallable Structures 

      Nag, Rohan; Garg, Sameer (Indian Institute of Management Ahmedabad, 2013)
      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 ...