Implied distributions and implied asset dynamics: Calibration and visualisation of models on market data

Funding: 2005: $55,280
2006: $111,465
2007: $106,136
2008: $50,884
2010: $13,069

Project Member(s): Schlogl, E.

Funding or Partner Organisation: Australian Research Council (ARC Linkage Projects)
Securities Industry Research Centre of Asia-Pacific - SIRCA (SIRCA)

Start year: 2005

Summary: Global money markets represent a very complex interlinked system. Market prices of derivative financial instruments bear information about this system, information that is critical for the effective management of interest rate and currency risks in a global context. The project will develop and test methods to extract this information. It will provide an interactive environment to explore (numerically and visually) sensitivities of asset dynamics and derivatives prices to input data and modelling assumptions, thus permitting a detailed analysis of market and model risk.

Keywords: Foreign exchange, Interest rates, Risk management, Options, Calibration, Data visualisation,

FOR Codes: Finance, Finance and investment services, Finance Services