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Finanzderivate in unvollständigen Märkten | == Finanzderivate in unvollständigen Märkten <br> (Modeling and Valuation of Financial Derivatives in Incomplete Markets) == | ||
funded by the BMBF support program "Mathematics for innovations in the Industrial and Service Sectors" | |||
'''Brief description:'''<br> | |||
Incomplete markets require new statistical, analytical, and numerical methods, to cope with stochastic volatilities or jumps in the stochastic processes, e.g. These are investigated in a joint project of Universität Heidelberg (with focus on modeling, analysis and statistics), Universität Bonn (with focus on numerics) and SCCS (with focus on software development). The goal of our work in the project is to integrate newly developed methods - especially sparse grid techniques - into the framework of ThetaML, a system of [http://www.thetaris.com/22-0-Imprint.html Thetaris GmbH] that allows rapid formulation and analysis of complex financial derivatives. | |||
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Simulationssoftware ist ein notwendiges Werkzeug, um die immer schneller ent wi ckel ten und komplexer | |||
werdenden Finanzprodukte verständlich zu machen. Dabei ist die Umsetzung neuer Modelle | |||
und effi zienter Verfahren für den Computer entscheidend für die erfolgreiche Anwendung in der Praxis. | |||
Die Modellierungssprache verwendet dabei ihr ganz eigenes Vokabular. Kaum hat der Anwender | |||
seine Produktbeschreibung in Worte gefasst, wird es automatisch in eine numeri sche Simulation umgewandelt. | |||
ThetaML ist ein neu entwickeltes System, das mit einer simplen, jedoch sehr mächtigen | |||
Beschreibungssprache arbeitet. Es repräsen tiert zusätzlich eine Plattform für die Implementierung | |||
der im Rahmen des Projekts entwickelten Modelle und Methoden | |||
--> | |||
[ | [[Image:FIDEUM_AmericanOption_Thetagram.png]] | ||
[[Image:FIDEUM_AmericanOption_Thetascript.png]] | |||
'''Figure 1:''' A financial product (here: an American option) can be visualized as "Thetagram" or modeled as text as a so-called "ThetaScript". | |||
[ | [[Image:FIDEUM_asianOption_simulation_plots.png]] | ||
'''Figure 2:''' Generating a simulation from the model: Here, the development of an Asian option is illustrated. | |||
'''Co-operation partners:''' | |||
* Prof. Dr. Drs. h.c. Willi Jäger (IWR, University of Heidelberg) | |||
* Prof. Dr. Markus Reiß (Institute of Applied Mathematics, University of Heidelberg) | |||
* Prof. Dr. Michael Griebel (Institute for Numerical Simulation, University of Bonn) | |||
'''Partner from industry:'''<br> | |||
[[Image:FIDEUM_ThetarisLogo.png]] | |||
'''Publications''': | |||
<pubsccs>pubid=1416,1459&nocaption=1</pubsccs> | |||
'''Contact:''' | |||
[[Stefanie Schraufstetter]], [[Stefan Zimmer]] | |||
[[Category:Research]] | |||
Latest revision as of 10:53, 12 May 2010
Finanzderivate in unvollständigen Märkten
(Modeling and Valuation of Financial Derivatives in Incomplete Markets)
funded by the BMBF support program "Mathematics for innovations in the Industrial and Service Sectors"
Brief description:
Incomplete markets require new statistical, analytical, and numerical methods, to cope with stochastic volatilities or jumps in the stochastic processes, e.g. These are investigated in a joint project of Universität Heidelberg (with focus on modeling, analysis and statistics), Universität Bonn (with focus on numerics) and SCCS (with focus on software development). The goal of our work in the project is to integrate newly developed methods - especially sparse grid techniques - into the framework of ThetaML, a system of Thetaris GmbH that allows rapid formulation and analysis of complex financial derivatives.
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Error creating thumbnail: Unable to save thumbnail to destination
Figure 1: A financial product (here: an American option) can be visualized as "Thetagram" or modeled as text as a so-called "ThetaScript".
Error creating thumbnail: Unable to save thumbnail to destination
Figure 2: Generating a simulation from the model: Here, the development of an Asian option is illustrated.
Co-operation partners:
- Prof. Dr. Drs. h.c. Willi Jäger (IWR, University of Heidelberg)
- Prof. Dr. Markus Reiß (Institute of Applied Mathematics, University of Heidelberg)
- Prof. Dr. Michael Griebel (Institute for Numerical Simulation, University of Bonn)
Partner from industry:
Error creating thumbnail: Unable to save thumbnail to destination
Publications:
<pubsccs>pubid=1416,1459&nocaption=1</pubsccs>
Contact:
Stefanie Schraufstetter, Stefan Zimmer