Libor market models with stochastic volatility and CMS spread option pricing [Elektronische Ressource] / vorgelegt von Matthias Lutz

Libor Market Models with Stochastic Volatilityand CMS Spread Option PricingDissertationzur Erlangung des Doktorgrades Dr. rer. nat.der Fakultät für Mathematik und Wirtschaftswissenschaftender Universität Ulmvorgelegt vonDipl.-Math. oec., M.Sc. Matthias Lutzaus WertheimUlm, im Februar 2011Amtierender Dekan: Prof. Dr. Paul Wentges1. Gutachter: Prof. Dr. Rüdiger Kiesel2. Prof. Dr. Ulrich Stadtmüller3. Gutachter: Prof. Dr. John SchoenmakersTag der Promotion: 27.05.2011To the memory of Iris.AcknowledgmentsFirst and foremost I would like to express my deepest gratitude to Prof. Dr. RudigerKiesel for his con dence in my work and for giving me the freedom to follow myinterests. Moreover, I very much enjoyed being a member of the Institute of Math-ematical Finance when he was chair of the institute. He created a pleasant workingenvironment and I always enjoyed teaching under his guidance.I also would like to express my sincere thanks to Prof. Dr. Ulrich Stadtmullerfor being my co-examiner.To my friends and colleagues, who are too numerous to mention individually:Thank you for many fruitful discussions, your companionship and many great non-university activities. Special thanks go to Christian Hering, Eva Nacca, AndreasRupp and Dennis Schat z for countless and \highly inspiring" co ee breaks. Thesewill be sorely missed.I am also deeply indebted to Katrin Jensen and Andreas Rupp for proofreadingthis thesis and for providing valuable comments.