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Asset price dynamics under stochastic volatility

Funding: 1999: $55,000
2000: $57,000
2001: $64,000

Project Member(s): Platen, E.

Funding or Partner Organisation: Australian Research Council (ARC Large Grant)

Start year: 1999

Summary: This project will derive a new class of mulit-factor continuous time stochastic volatility models that are consistent with major stylised empirical facts on asset price dynamics. It will identify, on theoretical and empirical grounds, the model that is best under a suitable criterion. Suitable pricing, hedging and calibration methodologies for major dervations will be developed, implemented and tested. Prototype software tools will be written and demonstrated for the evaluation of major derivations and Value at Risk that will ensure greater competitiveness for the Australian financial community.

FOR Codes: Finance, Exchange rates, Stochastic Modelling and Analysis, Monetary policy, Finance and investment services