| title: | Computational Finance and an Interactive Research Environment for Testing Market Models |
|---|---|
| reg no: | ETF5022 |
| project type: | Estonian Science Foundation research grant |
| subject: |
1.1. Mathematics 2.9. System Engineering and Computer Technology |
| status: | completed |
| institution: | University of Mainor |
| head of project: | Raul Kangro |
| duration: | 01.01.2002 - 31.12.2004 |
| description: | The main goals of the project are 1. Developing an interactive web-based research environment for estimating market parameters using historical data, for comparing market models and various methods for pricing options and for investigating the effectiveness of corresponding replicating portfolios. 2. Estimating the error caused by choosing the artificial boundary and a boundary condition in pricing American options depending on more than one stock. 3. Proving convergence rate estimates for Numerical methods for pricing European and American options, including methods based on numerical solution of Kim's integral equations. 4. Developing methods for choosing suitable forms of dependence of the volatility on the stock price and for estimating corresponding market parameters. Comparing the effectiveness of the hedging strategies based on the generalized Black-Scholes model with the hedging strategies corresponding to the model with constant coefficients. 5. Theoretical and computational investigation of various methods for modelling the behaviour of the solutions of stochastic differential equations with applications to pricing options by Monte-Carlo method. 6. Comparing suitability of various bond price models for modelling the prices of Estonian bonds, developing effective numerical methods for pricing bond options and for estimating market parameters. |
| project group | ||||
|---|---|---|---|---|
| no | name | institution | position | |
| 1. | Raul Kangro | The University of Mainor | Professor | |
| 2. | Tauno Õunapuu | The University of Mainor | Head of Internal Communication Departmet | |