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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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NEW VACANCIES - CERF research Assistants/Associates

Dec 19, 2019

We are looking to recruit a Research Assistant/Associate to work at the Cambridge Endowment for Research in Finance (CERF) based in Central Cambridge at the University of Cambridge Judge Business School.

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.

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