Ang, Xing Xian (2013) A Mixed PDE/Monte Carlo approach as an efficient way to price under highdimensional systems. Masters thesis, Oxford University.

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Abstract
We propose to price derivatives modelled by multidimensional systems of stochastic di�fferential
equations using a mixed PDE/Monte Carlo approach. We derive a stochastic PDE where some of the coeffi�cients are conditional on stochastic ancillary factors. The stochastic
PDE is solved with either analytical or �finite diff�erence methods, where we simulate all the ancillary processes using Monte Carlo. The multilevel technique has also been introduced to further reduce the variance. The combined method showed over 80% cost reduction for the same accuracy, in pricing a barrier option in an FX market with stochastic interest rate and volatility (which is usually expensive to work with) , when compared to the pure Monte
Carlo simulation.
Item Type:  Thesis (Masters) 

Subjects:  H  N > Mathematics education 
Research Groups:  Mathematical and Computational Finance Group 
ID Code:  1736 
Deposited By:  Laura Auger 
Deposited On:  13 Aug 2013 19:09 
Last Modified:  29 May 2015 19:25 
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