Objective
Research objectives and content
In response to the breakdown of the Black-Scholes model, this project attempts to develop a new arbitrage-free method of option pricing based on non-parametric estimation of the state-price density (SPD). This avoids having to directly specify the stochastic process governing the asset-price. The SPD is chosen from an exponential family constructed by minimizing the Kullback-Leibler distance from a prior density subject to a number of moment conditions. This estimate can then be used for pricing various claims, thus offering applications in risk management. Next, the stochastic process implied by the SPD is calculated and a measure of market efficiency is constructed by comparing the processes associated with SPDs at different points in the future.
Training content (objective, benefit and expected impact)
The DPhil at Oxford is the ideal preparation for an academic career in econometrics. The research itself is supported by advanced level courses conducted by the department in all relevant fields of study, and the University offers courses on specific research skills such as computer programming, as well as more general teaching skills in leading seminars and lecturing. The department has a very active student body that organises a wide range of seminars for graduates to present papers to their colleagues. Moreover, the colleges and department strongly support students in attending national and international conferences.
Links with industry / industrial relevance (22)
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
- social sciences economics and business economics econometrics
- social sciences sociology governance crisis management
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Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Call for proposal
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
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Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Coordinator
OX1 3UL Oxford
United Kingdom
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.