Pricing and Hedging Extreme Maturity Contracts

极端到期合约的定价和对冲

• 批准号: DP0878155
• 负责人: Prof Eckhard Platen
• 金额: $ 23.7万
• 依托单位: University of Technology Sydney
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2008
• 资助国家: 澳大利亚
• 起止时间: 2008-02-01 至 2012-06-30
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0878155
• 关键词: Pricing; Hedging; Extreme; Maturity; Contracts

Most Australians belong to superannuation schemes. Hence, the long term performance and risk of these investments is of particular importance to the welfare of Australia. This research will improve the life-long financial security of Australians by clearly demonstrating that many superannuation targets can be achieved with less capital than currently suggested. This project will provide new technology for enhancing the long term performance of superannuation funds, managed funds, investment banks and insurance companies, giving these Australian institutions a competitive advantage and permitting them to offer innovative financial products to mitigate extreme maturity financial risk in retirement.

大多数澳大利亚人都参加了养老金计划。因此，这些投资的长期表现和风险对澳大利亚的福利尤为重要。这项研究将改善澳大利亚人的终身财务安全，清楚地表明，许多养老金目标可以用比目前建议的更少的资本实现。该项目将提供新技术，以提高养老金基金、管理基金、投资银行和保险公司的长期业绩，使这些澳大利亚机构具有竞争优势，并使他们能够提供创新的金融产品，以减轻退休后的极端到期金融风险。