Inverting multivariate analytic characteristic functions with financial applications

Hu, Runqi

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https://hdl.handle.net/2142/105056 Copy

Description

Title

Inverting multivariate analytic characteristic functions with financial applications

Author(s)

Hu, Runqi

Issue Date

2019-04-19

Director of Research (if dissertation) or Advisor (if thesis)

Feng, Liming

Doctoral Committee Chair(s)

Feng, Liming

Committee Member(s)

• Feng, Runhuan
• Sirignano, Justin
• Chronopoulou, Alexandra

Department of Study

Industrial&Enterprise Sys Eng

Discipline

Industrial Engineering

Degree Granting Institution

University of Illinois at Urbana-Champaign

Degree Name

Ph.D.

Degree Level

Dissertation

Keyword(s)

• Multivariate analytic characteristic function
• inversion

Abstract

This dissertation is devoted to multivariate analytic characteristic functions inversion and applications in option pricing, option sensitivities estimation, and some electronic engineering problems. We will show that under certain analytic conditions for characteristic functions, the underlying pdfs and cdfs have exponential tails. The inversion from multivariate characteristic functions to the corresponding pdfs and cdfs can be approximated by the trapezoidal rule conveniently with great accuracy. Monte Carlo methods can be applied for option sensitivity analysis. Under multi-dimensional models, acceptance-rejection method is desirable. Simulating from a distribution without explicit pdf or CDF is then transformed to sampling from an easy-to-simulate distribution. Detailed algorithms are provided and comparisons against classical methods in terms of accuracy and efficiency are included.

Graduation Semester

2019-05

Type of Resource

text

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http://hdl.handle.net/2142/105056

Copyright and License Information

Copyright 2019 Runqi Hu

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