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.