Code
01SC0414
Duration
01 March 2014 → 31 December 2017
Funding
Regional and community funding: Special Research Fund
Promotor
Fellow
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..