New approaches to derivatives management

    Project: Research project

    Description

    Derivative securities are becoming popular due to their ability to tailor portfolio return distributions to the specific needs of investment managers. Accurate predictions about the relation between the price of derivatives and the corresponding underlying value are of prime importance to assess the future development of the value of portfolio options. The general goal of the project is to study state-of-the-art option pricing models that incorporate the recent academic developments. Throughout, the performance of new methods will be evaluated on the basis of their empirical properties as compared to existing techniques.
    Short titleNew approaches to derivatives management
    StatusFinished
    Effective start/end date1/09/011/09/05