Implied distributions and implied asset dynamics: Calibration and visualisation of models on market data

隐含分布和隐含资产动态：市场数据模型的校准和可视化

• 批准号: LP0562616
• 负责人: Prof Erik Schlogl
• 金额: $ 22.46万
• 依托单位: University of Technology Sydney
• 依托单位国家: 澳大利亚
• 项目类别: Linkage Projects
• 财政年份: 2005
• 资助国家: 澳大利亚
• 起止时间: 2005-11-30 至 2009-06-30
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/LP0562616
• 关键词: Implied; distributions; implied; asset; dynamics

Global money markets represent a very complex interlinked system. Market prices of derivative financial instruments bear information about this system, information that is critical for the effective management of interest rate and currency risks in a global context. The project will develop and test methods to extract this information. It will provide an interactive environment to explore (numerically and visually) sensitivities of asset dynamics and derivatives prices to input data and modelling assumptions, thus permitting a detailed analysis of market and model risk.

全球货币市场是一个非常复杂的相互关联的系统。衍生金融工具的市场价格载有关于这一系统的信息，这些信息对于在全球范围内有效管理利率和货币风险至关重要。该项目将开发和测试提取这些信息的方法。它将提供一个互动的环境，以（从数字和视觉上）探索资产动态和衍生品价格对输入数据和建模假设的敏感性，从而可以详细分析市场和模型风险。