Pricing and hedging financial derivatives in incomplete markets

不完全市场中金融衍生品的定价和对冲

• 批准号: 355946-2008
• 负责人: Badescu, Alexandru
• 金额: $ 0.87万
• 依托单位: University of Calgary
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2009
• 资助国家: 加拿大
• 起止时间: 2009-01-01 至 2010-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=431856
• 关键词: Pricing; hedging; financial; derivatives; incomplete

The accurate modeling of financial objects is crucial for pricing and hedging various derivatives. Ideally one wants to find a model as simple as possible, which can capture most of the stylized features exhibited by the market data. There has been an extensive literature in the past decade, in both discrete and continuous time, trying to identify the 'right' model which then can be further used for dealing with the three pillars of finance: valuation, asset allocation, and risk management.

金融对象的准确建模对于各种衍生产品的定价和套期保值至关重要。理想情况下，人们希望找到一个尽可能简单的模型，它可以捕捉市场数据所展示的大多数风格化特征。在过去的十年里，有大量的文献，在离散和连续的时间，试图确定“正确的”模型，然后可以进一步用于处理金融的三大支柱：估值，资产配置和风险管理。