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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