Research in Financial Mathematics

金融数学研究

• 批准号: 0807440
• 负责人: K. Ronnie Sircar
• 金额: $ 21.9万
• 依托单位: Princeton University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2008
• 资助国家: 美国
• 起止时间: 2008-07-01 至 2011-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0807440&HistoricalAwards=false
• 关键词: Research; Financial; Mathematics

The work supported by this award has three main components addressing some central concerns in the mathematical analysis of financial problems, specifically credit risk, construction and calibration of measures of risk, and asymptotic approximations for derivatives valuation problems. The first component analyzes option prices, or implied volatility surfaces, in the presence of multiscale stochastic volatility, combining singular and regular perturbation expansions from fast and slow volatility factors, and a WKB-type analysis for the short-time behaviour. The second component studies the inference of risk measures from market data. Under many standard financial models, good time-consistent convex risk measures are characterized by solutions of backward stochastic differential equations and quasilinear parabolic partial differential equations (PDEs), for which calibration is an inverse problem. The goal is design of asymptotic and numerical methods to translate market values of instruments contingent on extreme events into risk measures. The third component is to develop new models and algorithms for valuing and managing credit risk. The class of top-down models is a convenient macroscopic description of the number of defaults, and our study involves asymptotics for wave-type PDEs with random coefficients. The relationship with constituent bottom-up (microscopic) models needs to be understood, and the challenge is to design effective approximations to pass between the two levels of detail.This research project develops mathematical and computational tools for understanding and modeling credit risk and volatilities in extreme regimes, and seeks to construct appropriate risk measures. The broad goal is better quantitative assessment and management of market volatility and default risk, especially in times of heavy turmoil like the present. This is particularly important given that poor understanding and weak regulation of risks related to credit-linked instruments allowed untamed speculation and securitization thatspurred the onset of the current crisis. While such re-insurance products can be used for the good, their design and use has to be informed by tools of stochastic analysis and statistics. This research will contribute to this tool set.

该奖项支持的工作包括三个主要部分，解决金融问题数学分析中的一些核心问题，特别是信用风险、风险度量的构建和校准以及衍生品估值问题的渐近近似。第一个组成部分在存在多尺度随机波动的情况下分析期权价格或隐含波动率表面，结合快速和慢速波动因子的奇异和常规扰动扩展以及短期行为的 WKB 型分析。 第二部分研究从市场数据中推断风险度量。在许多标准金融模型下，良好的时间一致凸风险度量的特征是后向随机微分方程和拟线性抛物型偏微分方程（PDE）的解，其中校准是一个反问题。目标是设计渐近数值方法，将极端事件下的工具市场价值转化为风险衡量指标。 第三部分是开发新的模型和算法来评估和管理信用风险。自上而下的模型类别是对违约数量的方便的宏观描述，我们的研究涉及具有随机系数的波动型偏微分方程的渐近性。需要理解与自下而上（微观）模型之间的关系，挑战是设计有效的近似值以在两个细节层次之间传递。该研究项目开发数学和计算工具来理解和建模极端情况下的信用风险和波动性，并寻求构建适当的风险度量。总体目标是更好地定量评估和管理市场波动和违约风险，特别是在像目前这样的严重动荡时期。鉴于对信用挂钩工具相关风险的了解不足和监管薄弱，这一点尤其重要，导致投机和证券化不受抑制，从而引发了当前危机的爆发。虽然此类再保险产品可以用于公益目的，但​​其设计和使用必须采用随机分析和统计工具。这项研究将为该工具集做出贡献。