Asset Market Interconnectedness and Exotic Options: The Mean Impact Surface

资产市场的互联性和奇异期权：平均影响面

• 批准号: DP160102350
• 负责人: Prof Vance Martin
• 金额: $ 19.97万
• 依托单位: The University of Melbourne
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2016
• 资助国家: 澳大利亚
• 起止时间: 2016-03-01 至 2020-06-30
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP160102350
• 关键词: Asset; Market; Interconnectedness; Exotic; Options

The project intends to develop models to price financial risk more accurately during periods of financial stress and increasing global interconnectedness. Specifically, it plans to develop a new class of latent factor models with time-varying loadings to model the interconnectedness of global financial markets during periods of financial stress. A key feature of the proposed model is the role of second-order conditional moments of the underlying innovation processes in modelling asset return dynamics. The proposed model is characterised by higher order nonlinear structures which are captured graphically by the mean impact surface. The project also plans to develop a new class of tests to detect higher order dependencies among asset returns in the presence of time-varying volatility, and to investigate the implications for constructing portfolios with exotic options to hedge risk during financial crises.

该项目旨在开发模型，以便在金融紧张和全球相互联系日益增加的时期更准确地为金融风险定价。具体而言，它计划开发一类新的具有时变负荷的潜在因素模型，以模拟金融压力期间全球金融市场的相互联系。所提出的模型的一个主要特点是二阶条件矩的基本创新过程中的资产回报动态建模的作用。该模型的特点是高阶非线性结构，捕获图形的平均影响面。该项目还计划开发一类新的测试，以检测在存在时变波动的情况下资产回报之间的高阶相关性，并调查在金融危机期间构建具有奇异期权的投资组合以对冲风险的影响。