IES :: Mgr. Michaela Vlasáková-Baruníková (Hlínková)

Akademická funkce: Ph.D. Candidate
Členství: Doktorandi, Katedra financí a kapitálových trhů

Kontakt

Kancelář:
Email: babenababena [AT] gmail [DOT] com
Telefon:
Konzultační hodiny: dle dohody

Další informace

PhD studium

Rok začátku PhD studia: 2008
Datum rigorózní zkoušky:
Datum státní dr. zkoušky:
Malá obhajoba:
Velká obhajoba:

Vědecká práce:

Disertační téma:
Option pricing: Testing option pricing models and their implications on the risk management.

Disertační teze:
Option pricing theory has undergone rapid evolution since the seminal paper of Black, Scholes and Merton in 1973. However, there are still unresolved crucial questions regarding the underlying theory. Is the risk neutral probabilistic consistent with the observed conditional distribution estimated ? (e.g. Chernov, Ghysels 2000). Should parameters within the parametric models be estimated from the time series of the underlying price or from the cross-sectional option price data? Can data driven models (e.g. neural networks) perform better than correctly specified parametric models and numerical methods? (e.g. Hutchinson et al. 1994).

The aim of the research is to empirically compare performance of some of the recent option pricing approaches in order to answer the above mentioned questions amongst others. The author moreover expects to find out whether the use of the best performing models will have significant implications on the practical use of option pricing – e.g. risk management.

Volitelné předměty (absolvované):