Projects / Programmes
Pricing of derivative securities
| Code |
Science |
Field |
Subfield |
| 1.07.03 |
Natural sciences and mathematics |
Computer intensive methods and applications |
Simulations |
| Code |
Science |
Field |
| P001 |
Natural sciences and mathematics |
Mathematics |
Probability theory, mathematical finance, random processes, martingales, derivative securities, Black-Sholes formula, optimal portfolios, hedging, Markowitz model, statistical data analysis.
Researchers (2)
| no. |
Code |
Name and surname |
Research area |
Role |
Period |
No. of publicationsNo. of publications |
| 1. |
10013 |
PhD Mihael Perman |
Mathematics |
Head |
1998 - 1999 |
205 |
| 2. |
01941 |
PhD Tomaž Pisanski |
Mathematics |
Researcher |
1999 |
866 |
Organisations (1)
Abstract
This research project has two components: (1) we wish to study various models of pricing and hedging derivative securities and establish which models are suitable for markets where there may be restrictions on liquidity or other restrictions. (2) we wish to relate the price fluctuations of secutities to macro-economic variables like interest rate, volume of loans, money supply and other. The first step is to provide databases in suitable format for further analysis and compute the basic statistical quantities and provide graphic representations of the data. One of the principal aims is to improve the quality of financial products on the market and provide the necessary technical support and provide estimates of yields and assess the risk. Furthermore, these products, given the rates of return must be optimized. To this end we wish to explore to what extent the methods of portfolio optimization based on Markowity model and others are applicable in relatively shalow markets like the one in Slovenia and if possible adapt these models to the characteristics of the market in Slovenia.
