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Cambridge Endowment for Research in Finance (CERF)

 

Mike Tehranchi

Title of research: Polynomial and Spectral Asset Price Models

Polynomial models provide a tractable framework for asset pricing in the context of stochastic interest rates or stochastic volatility.  Spectral models are a natural generalisation, giving rise to ‘approximately complete’ markets of vanilla options.  In particular, such options can be used as hedging instruments for path-dependent contingent claims.  The proposed research involves characterising the joint dynamics of vanilla option prices in order to understand the structure of such hedging portfolios.

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Project Update - July 2016