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please give me some suggestion

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楼主
发表于 2004-11-15 12:53:00 | 只看该作者

please give me some suggestion

hi, I have applied the PHD candidate of Finance in Australia National University, My interest in the derivative securities and relative pricing & trading strategy analysis, do you think this could be a useful trend for the industry development, and I would like to do some relocation of the popular models of derivatives (black-scholes, binominal model) in their indicator or parameter, and hope this can be successfully used in present and future main financial market of Aisa countries: Singarpore, HongKong, Tokyo,Shanghai,and some others , but I see that is indeed a ambitious plan and very hard to know the detail of the these markets. Thus I hope here people who did this relative area and could give me some advice about my research plan and better for recommodating some good ideas..


Sincerely thank a lot!!


and sorry from a chinese student (Here is no chinese typing programme in my University labs)



沙发
 楼主| 发表于 2004-11-15 12:54:00 | 只看该作者

hi, I have applied the PHD candidate of Finance in Australia National University, My interest in the derivative securities and relative pricing & trading strategy analysis, do you think this could be a useful trend for the industry development, and I would like to do some relocation of the popular models of derivatives (black-scholes, binominal model) in their indicator or parameter, and hope this can be successfully used in present and future main financial market of Aisa countries: Singarpore, HongKong, Tokyo,Shanghai,and some others , but I see that is indeed a ambitious plan and very hard to know the detail of the these markets. Thus I hope here people who did this relative area and could give me some advice about my research plan and better for recommodating some good ideas..

Sincerely thank a lot!!

and sorry from a chinese student (Here is no chinese typing programme in my University labs)

板凳
发表于 2004-11-16 08:34:00 | 只看该作者

I would like to do some relocation of the popular models of derivatives (black-scholes, binominal model) in their indicator or parameter,

What do you mean?

地板
发表于 2004-11-16 08:37:00 | 只看该作者

Anyway, it is an ambitious plan..

Once you get admission to the program and locate a supervisor, he/she will help you adjust your plan and land on a practical/feasible topic..

5#
 楼主| 发表于 2004-11-16 13:01:00 | 只看该作者

I mean I would like to redefine and relocate the parameter in the model of  presently popular derivative, and consider some good ways to use those in the trading strategy of Aisa market.

Have you ever known some major trends of derivatives research and could give me some reminds.

6#
发表于 2004-11-16 19:50:00 | 只看该作者

adaesvw, both BS-Merton framework and Binomial lattice mothod are classical but naive. It is assumed that the term structures of interest rate and volatility are flat, underlying dynamics follow geometric brownian motion and market is ficitonless and efficient etc. you may consider the stochastic volatility and stochastic interest rate, if the derivative in study is interest rate product. (Such as interest rate and volatility are mean-reverting and have their own volatility, and jump diffusion as well).

Regarding the trading and hedging strategy, if my guess is right, you are talking about replicating portfolio which dynamically hedges away the trader's position in writing or longing a opiont, aren't you? It's been a hot research area since last decade. I do think you may find some decent topic to undertake research.

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