Models and properties of derivative contracts

Given a market model, the next question to address is how to price derivative contracts such as options. There are many interesting problems including:

• formulation of exotic contracts as mathematical problems
• analysis of the effects of market imperfections such as transaction costs or illiquidity.
• use of asymptotic analysis to simplify difficult problems.
• stochastic control techniques and HJB equations.

People working in this area within OCIAM are