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Stochasitc correlation in financial markets

Stochasitc correlation in financial markets
金融市场中的随机相关性
批准号：
121848-2009
负责人：
Seco, Luis
金额：
$1.17万
依托单位：
University of Toronto
依托单位国家：
加拿大
项目类别：
Discovery Grants Program - Individual
财政年份：
2010
资助国家：
加拿大
项目状态：
已结题
起止时间：
2010-01-01 至 2011-12-31
来源：
https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=451606
关键词：
Stochasitccorrelationfinancialmarkets

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英文摘要
Since its birth a few decades ago, mathematical finance has matured into a discipline that has managed to express in rigorous mathematical form many of the issues of current relevance in the financial sector. One of those issues, which is of growing relevance is that of dependence. In its simplest form, correlation between prices has always been known to be a key fact in many theories, from Markowitz portfolio optimization to some of the more complex credit-sensitive derivative instruments. But whereas other parameters, such as volatility, have been analyzed in detail and theories created to model them, correlation continues to be dealt with in a rather simplistic form. Yet, with many non-gaussian theories being created in recent times, a need for
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Portfolio optimization in markets with stochastic dependence
  • 批准号：
    RGPIN-2014-05268
  • 项目类别：
    Discovery Grants Program - Individual
  • 资助金额：
    $1.02万
  • 财政年份：
    2018
  • 负责人：
    Seco, Luis
  • 依托单位：
    University of Toronto
Portfolio optimization in markets with stochastic dependence
  • 批准号：
    RGPIN-2014-05268
  • 项目类别：
    Discovery Grants Program - Individual
  • 资助金额：
    $1.02万
  • 财政年份：
    2017
  • 负责人：
    Seco, Luis
  • 依托单位：
    University of Toronto
Portfolio optimization in markets with stochastic dependence
  • 批准号：
    RGPIN-2014-05268
  • 项目类别：
    Discovery Grants Program - Individual
  • 资助金额：
    $1.02万
  • 财政年份：
    2016
  • 负责人：
    Seco, Luis
  • 依托单位：
    University of Toronto
Portfolio optimization in markets with stochastic dependence
  • 批准号：
    RGPIN-2014-05268
  • 项目类别：
    Discovery Grants Program - Individual
  • 资助金额：
    $1.02万
  • 财政年份：
    2015
  • 负责人：
    Seco, Luis
  • 依托单位：
    University of Toronto
国内基金
海外基金
铁磁、半金属-超导异质结中电子输运的理论研究
  • 批准号：
    60971053
  • 项目类别：
    面上项目
  • 资助金额：
    30.0万元
  • 批准年份：
    2009
  • 负责人：
    周世平
  • 依托单位：
    上海大学