Pricing of multiple exercise options in high dimensions - CSIRO Scholarship

Project Member(s): Novikov, A.

Funding or Partner Organisation: Commonwealth Scientific and Industrial Research Organisation (Commonwealth Scientific & Industrial Research Organisation)

Start year: 2014

Summary: The aim of this project is to develop an efficient numerical method for pricing variable annuity products. This project aims to develop models including: pricing annuity products with guaranteed minimum withdrawal benefits; hedging and replication of these products; and numerical solutions to related high dimensional stochastic control problems. Research outcomes from this project will include journal publications, technical reports, conference presentations and practical implementations.

FOR Codes: Finance, Finance Services

Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.