Option Pricing and ALM in Regime Switching Models


Grant Data
Project Title
Option Pricing and ALM in Regime Switching Models
Principal Investigator
Professor Yang, Hailiang   (Principal investigator)
Co-Investigator(s)
Professor Yin George Gang   (Co-Investigator)
Duration
36
Start Date
2010-01-01
Completion Date
2012-12-31
Amount
520000
Conference Title
Presentation Title
Keywords
Option pricing, Trinomial tree, Regime switching models, Asset liability management, Portfolio theory
Discipline
Applied Mathematics,Others - Mathematics
Panel
Physical Sciences (P)
Sponsor
RGC General Research Fund (GRF)
HKU Project Code
HKU 706209P
Grant Type
General Research Fund (GRF)
Funding Year
2009/2010
Status
Completed