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Variable Annuities,EIA,Heston,Stochastic Volatility
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Pricing and Hedging Equity-Linked Products under Stochastic Volatility Models
Masters Thesis
Anne MacKay
Masters Thesis
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(Introduction)
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(1 Financial Models)
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(1.1 The Black-Scholes Model)
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(1.1.1 Motivation)
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(1.1.3 Price of a European call option)
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(1.1.4 Hedging under the Black-Scholes model)
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(1.1.5 Calibrating the Black-Scholes model)
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(1.2 The Heston Model)
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(1.2.1 Motivation)
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(1.2.2 Description of the model)
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(1.2.3 Price of a European call option)
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(1.2.4 Hedging under the Heston model)
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(1.2.5 Calibrating the Heston model)
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(2 Hedging in Discrete Time)
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(2.4.3 Hedging Volatility: Vega Hedging)
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(3 Equity-Linked Products)
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