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Financial modelling with multivariate local jump processes

Objectif

The proposed research project aims to develop a specific class of multivariate local stochastic models with jumps, called multivariate local Levy models. The resulting multivariate models can be applied to the problem of pricing financial derivatives written on a portfolio of several underlying assets, for example, basket options and Collateralised Debt Obligations, where the dependence between the assets in the underlying portfolio is of great importance. To develop stochastic models that can describe the dependence between the assets in a portfolio accurately has become increasingly important in the financial industry, due to the growing complexity of the financial markets and the financial products developed.

There are two main objectives of the project. Firstly, to develop and study the multivariate model proposed both from a theoretical as well as from a computational point of view. To apply the proposed model to pricing problems in finance and study the theoretical and computational aspects, such as, risk measures and calibration of the models to market data, of these applications is the second objective of the project.

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Mots‑clés

Thème(s)

Appel à propositions

FP6-2005-MOBILITY-5
Voir d’autres projets de cet appel

Régime de financement

EIF - Marie Curie actions-Intra-European Fellowships

Coordinateur

TECHNISCHE UNIVERSITEIT EINDHOVEN
Contribution de l’UE
Aucune donnée
Coût total
Aucune donnée