Pricing and hedging with the potential approach

使用潜在方法进行定价和对冲

• 批准号: EP/D501806/1
• 负责人: Leonard Rogers
• 金额: $ 14.48万
• 依托单位: University of Cambridge
• 依托单位国家: 英国
• 项目类别: Research Grant
• 财政年份: 2006
• 资助国家: 英国
• 起止时间: 2006 至 无数据
• 项目状态: 已结题
• 来源: https://gtr.ukri.org/projects?ref=EP%2FD501806%2F1
• 关键词: Pricing; hedging; potential; approach

The financial services industry contributes strongly to the UK economy, but us genuinely a world-wide industry. Its business is to buy and sell financial instruments of various kinds, usually on behalf of clients. Some of these instruments are quite simple (for example, shares), or are traded publicly in vast amounts across exchanges, so it us not hard to price them. But others are much harder to price accurately; they may be derivative assets, whose prices can depend in complicated ways on how other assets have moved, or they may be assets made to order for a large client who requires a specific payment structure. For such products, finding a price means building and calibrating a mathematical model. Commonly, this is done by building models for individual components of the problem, but it is then hard (or impossible) to combine these components consistently, and consistently with other pricing calculations being done elsewhere. What the proposal aims to do us to calibrate a universal pricing model to a wide range of assets simultaneously to see whether it is possible to include essentially all assets in one framework.

金融服务业对英国经济的贡献很大，但我们确实是一个世界性的行业。它的业务是买卖各种金融工具，通常代表客户。其中一些工具非常简单（例如股票），或者在交易所公开交易，因此我们不难为它们定价。但其他资产则更难准确定价;它们可能是衍生资产，其价格可能以复杂的方式取决于其他资产的走势，或者它们可能是为需要特定支付结构的大客户定制的资产。对于这类产品，定价意味着建立和校准数学模型。通常，这是通过为问题的各个组成部分建立模型来完成的，但是很难（或不可能）将这些组成部分一致地结合起来，并且与其他地方进行的其他定价计算一致。该提案的目的是让我们同时对广泛的资产校准通用定价模型，看看是否有可能将基本上所有的资产纳入一个框架。