Project

Pricing and Hedging of Multi-Asset Derivatives under a Multi-Factor Lévy Model

Code
01SC0414
Duration
01 March 2014 → 31 December 2017
Funding
Regional and community funding: Special Research Fund
Research disciplines
  • Natural sciences
    • Probability theory
Keywords
correlation hedging Lévy process stochastic volatiltiy option pricing
 
Project description

Based on Independent Component Analysis, a flexible well-posed multi-factor Lévy stochastic volatility model is proposed, which incorporates the correlation between the different assets as well as the leverage effect between stochastic volatility and the returns. Pricing and hedging of different types of multi-asset equity, currency and credit

derivatives will be carried out systematically under the proposed model and its extensions. (60 words)