Thesis supervisor: József Gáll
Location of studies (in Hungarian): University of Debrecen Faculty of Informatics Abbreviation of location of studies: DE IK
Description of the research topic:
Syllabus
Since the famous and celebrated Black-Scholes(-Merton) model finance and financial mathematics has changed a lot. Many new models and tools have been developed for derivative pricing and risk management purposes, among others. On the other hand several new financial assets have been introduced in the financial markets in the past decades. These developments generated several scientific challenges. Such interesting problems are: no arbitrage criterion in a model, pricing of financial derivatives, developing models that meet the observed properties of certain markets. In the research the candidate could specialise on a certain family of models, for instance a family of interest rate models. Then the main aims would be to test real data and analyse the statistical properties (e.g. goodness of fit) of the models, to develop and test tools for derivative pricing and risk management. In particular, model simulations, Monte Carlo simulations would be welcome together with the related numerical and simulation related challenges, or neural tools and high frequency data cases could also be studied. Special statistical hypothesis test developed for such models and their empirical analysis could also be a part of the job. For this, R (or others, like MATLAB) could give the necessary computing environment. Furthermore, the development and testing of possible new (arbitrage-free) alternative models would be welcome. In what follows, we only cite some well-known fundamental books on the subject.
Bibliography
Barucci, E. (2003): ”Financial Markets Theory”, Springer.
Björk, T. (1998): ”Arbitrage Theory in Continuous Time”, Oxford University Press,
Oxford & New York.
Brealey, R. A. - Myers, S. C. - Allen, F.: Principles of Corporate Finance, Concise edition(!), McGraw-Hill/Irwin, 2009.
Brigo, D. and Mercurio, F. (2006), Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit}, Springer, Berlin Heidelberg New York.
Cont, R. and Tankov, P. (2004): ”Financial Modelling With Jump Processes”, Chapman & Hall/CRC Financial Mathematics Series.
Glassermann, P. (2003): Monte Carlo Methods in Financial Engineering, Springer.
Huang, Chi-Fu and Litzenberger, R. H. (1988): ”Foundations for financial economics”, Prentice Hall.
Musiela, M. and Rutkowski, M. (2005), Martingale Methods in Financial Modeling, Springer-Verlag, Berlin, Heidelberg.
Deadline for application: 2021-11-15
2024. IV. 17. ODT ülés Az ODT következő ülésére 2024. június 14-én, pénteken 10.00 órakor kerül sor a Semmelweis Egyetem Szenátusi termében (Bp. Üllői út 26. I. emelet).
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