Research Project 14

RP14. Multivariate Modeling for Efficient Pricing and Hedging of Multi-asset Derivatives with HPC (Andrea Barletta)

Leading Partner: Aarhus School of Business. Supervisor: Prof. Peter Jørgensen

The aim of this project is to develop a new framework to construct realistic and numerically tractable multivariate models displaying (i) well-established marginals with stochastic volatility and jumps in the individual asset dynamics, on one hand, and (ii) rich dependence structures that adequately capture the co-movements and spill-over effects across the different assets, on the other hand. The project will maintain a strong focus on the efficient numerical implementation of the developed models as well as on the parallel development of accurate approximation schemes that will be necessary to amend the computational costs related to the "curse of dimensionality" that one inevitably runs into when working with multivariate stochastic models. The project will thus rely heavily on and hopefully also contribute with further ideas to the HPC methods and techniques that are developed and explored in other RPs. Within this RP, the fellow prepares his/her PhD thesis in the areas of theoretical and computational finance.

Results

Dissertation

Barletta, A., PhD Thesis (2016-08-26): Consistent Modeling and Efficient Pricing of Volatility Derivatives

Deliverables

DELIVERABLE 5.4 on project 14 (A. Barletta, Aarhus University)

Barletta, A. (2016), "Multivariate Modeling for Efficient Pricing and Hedging of Multi-asset Derivatives with HPC" [download]

Presentations

  • Barletta, A., "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach". CREATES, Aarhus University, June 2nd 2015.
  • Barletta, A., "Asymptotic L2-Orthogonal Expansions for Pricing of Volatility Derivatives". University of Bologna, April 24th 2015.
  • Barletta, A., "Closed-form Pricing of VIX Options in the Double-Mean-Reverting Model", Aarhus FRG Conference, Sandbjerg, June 19th 2014.
  • Barletta, A., "Laguerre Expansions for Volatility Derivatives", 8th World Congress of the Bachelier Finance Society, Brussels, June 2nd-6th 2014.
  • Barletta, A., "Laguerre Expansions for Volatility Derivatives", QMF 2016, Sydney, December 17th-20th 2013.
  • Barletta, A., "Laguerre Expansions for Volatility Derivatives", Aarhus FRG Conference, Sandbjerg, June 20th 2013

Final conference

Andrea Barletta (Aarhus University): Consistent modeling and efficient pricing of VIX options