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: 2012
• 资助国家: 加拿大
• 起止时间: 2012-01-01 至 2013-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=497287
• 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.

财务对象的准确建模对于定价和对冲各种导数至关重要。理想情况下，人们希望找到尽可能简单的模型，该模型可以捕获市场数据所展示的大多数风格化功能。在过去的十年中，在离散和连续时间都有广泛的文献，试图识别“正确”模型，然后可以进一步用于处理财务三大支柱：估值，资产分配和风险管理。