- Title: Model risk in mathematical finance
- Description: In practice we seldom know if we have used the correct model specification. Moreover even when we have the correct model structure we are not sure of the correct model parameters. Your task is to investigate the impact of mis-specification and parameter uncertainty for different applications such as valuation, hedging, risk evaluation and risk management. Both simulation based studies and empirical data based studies are of interest. The aspect of robustness of a model or a model structure can also be studied. It is also possible to use your own data if that is available. You can also study on how to take model uncertainty into account for various applications such as hedging and risk management. Another important aspect is data quality. Are there outliers or faulty data present? How can we handle this? How will that effect the performance of our models? Depending on your field of interest it is possible to focus more on some of the problems above.
- Contact: Magnus Wiktorsson
Questions: webmaster
Last update: 2013-04-11
Centre for Mathematical Sciences, Box 118, SE-22100, Lund. Telefon: +46 46-222 00 00 (vx)