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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.

Project Update - April 2018

Project Update - August 2017

Project Update - April 2017

Project Update - July 2016

Latest news

PhD advisor and co-author of CERF post-doc Xinyu Hou wins Nobel Prize in Economics

11 October 2022

Philip H Dybvig from Washington University is (joint with Bernanke and Diamond) a recipient of this year’s Nobel Memorial Prize in Economic Sciences for his research on banks and financial crises. Prof. Dybvig is the former PhD advisor of Dr Xinyu Hou who is currently a post-doctoral researcher at the Cambridge Endowment...