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

01 March 2014 → 31 December 2017
Regional and community funding: Special Research Fund
  • Xianming Sun
Research disciplines
  • Natural sciences
    • Applied mathematics in specific fields
    • Statistics and numerical methods
    • Computer architecture and networks
    • Distributed computing
    • Information sciences
    • Information systems
    • Programming languages
    • Scientific computing
    • Theoretical computer science
    • Visual computing
    • Other information and computing sciences
  • Social sciences
    • Applied economics
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)