Position: Ph.D. Candidate
Membership: Finance and Capital Markets, PhD Candidates
Email: babenababena [AT] gmail [DOT] com
Tutor: RNDr. Jiří Witzany Ph.D.
Studying from: 2008
Dissertation Proposal defence:
Option pricing: Testing option pricing models and their implications on the risk management.
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.
2008+ PhD candidate
2008 Mgr. (MA equivalent) in economic theory IES FSV UK
2005 Bc. (BA equivalent) in economic theory IES FSV UK
2008 + lectures in Microeconomics II
2008 - 2009 lectures in Public Finance A
Topics for supervision
ISP update 2009
ISP update 2010
Statistics Problem Set 09112010
Web references to Micro problem sets