英文标题：
《Incorporating a Volatility Smile into the Markov-Functional Model》
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作者：
Feijia Wang
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最新提交年份：
2014
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英文摘要：
We study a Markov-Functional (MF) interest-rate model with Uncertain Volatility Displaced Diffusion (UVDD) digital mapping, which is consistent with the volatility-smile phenomenon observed in the option market. We first check the impact of pricing Bermudan swaptions by the model. Next, we also investigate the future smiles implied by the MF models and the smile dynamics implied by the UVDD model. Finally, we conduct hedging simulations against Bermudan swaptions to test extensively the hedge performance of this smile-consistenet MF model.
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中文摘要：
我们研究了一个带有不确定波动率置换扩散（UVDD）数字映射的马尔可夫函数（MF）利率模型，该模型与期权市场中观察到的波动率微笑现象相一致。我们首先检查模型对百慕大掉期期权定价的影响。接下来，我们还研究了MF模型所暗示的未来微笑以及UVDD模型所暗示的微笑动力学。最后，我们对百慕大互换期权进行套期保值模拟，以广泛测试该smile consistenet MF模型的套期保值性能。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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