Print Email Facebook Twitter An Equity and Foreign Exchange Heston-Hull-White model for Variable Annuities Title An Equity and Foreign Exchange Heston-Hull-White model for Variable Annuities Author Wang, G. Contributor Oosterlee, C.W. (mentor) Faculty Electrical Engineering, Mathematics and Computer Science Department Mathematics Programme Master of Applied Mathematics Date 2011-11-04 Abstract This project aims to develop and validate the Heston-Hull-White model on Variable Annuities. Such a stochastic modelling assumption is crucial in pricing and hedging the long term exotic options. We calibrate the Equity and FX Heston-Hull-White model in the corresponding markets. A novel numerical integration option pricing method-COS method significantly improve this calibration process. From the conditioned calibration, large amounts of scenarios of 6 stock indices and 3 exchange rates are generated based on this hybrid model using Monte Carlo simulations. Finally we compare the Heston-Hull-White model with the Black Scholes model in the scenario-based valuation of the Guaranteed Minimum Withdrawal Benefits to see the impact of the stochastic model. Subject Variable AnnuitiesHeston Hull White To reference this document use: http://resolver.tudelft.nl/uuid:b8b2276c-aeee-49ed-b9b7-0bc78b794d76 Embargo date 2011-09-01 Part of collection Student theses Document type master thesis Rights (c) 2011 Wang, G. Files PDF Thesis.pdf 1.06 MB Close viewer /islandora/object/uuid:b8b2276c-aeee-49ed-b9b7-0bc78b794d76/datastream/OBJ/view