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Dr Mike Tehranchi

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.

Project Update - April 2018

Project Update - August 2017

Project Update - April 2017

Project Update - July 2016

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CERF Fellow Dr. Bang Dang Nguyen - paper will be presented at the AFA Annual Meeting 2020 in San Diego

Sep 26, 2019

Political Connections and Firm Value: Evidence from Close Gubernatorial Elections, joint with Q.A. Do (SciencesPo Paris) and Yen-Teik Lee (Curtin University), is accepted and will be presented at the AFA Annual Meeting 2020 in San Diego.

CERF Scholar Shiqi Chen presented her paper at Leeds University Business School

Jun 28, 2019

Shiqi Chen presented her paper entitled “Financial Policies and Internal Governance with Heterogeneous Risk Preferences” (joint with Bart Lambrecht) in the Accounting and Finance seminar at Leeds University Business School, the Finance seminar at Essex Business School, CERF Lunch Seminar at Cambridge Judge Business School, and at the 2019 Annual Real Options Conference in London.

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