Affine Multivariate GARCH Models

The objective of the proposed research program is to develop a flexible and unified multivariate framework for modeling the returns of financial assets. The program is innovative since it establishes closed-form formulas for an efficient and reliable calculation of risk measures and derivative prices. For financial institutions and government regulators, who are performing pricing and risk management calculations very frequently with thousands of assets, closed form solutions are of immense importance. The proposed research program is applied to the stock market since this is the centerpiece of financial markets and the only market for which the necessary comprehensive data are currently available, though generalizations to other markets are obvious.

Faculty Supervisor:

Marcos Escobar Anel;Lars Stentoft

Student:

Javad Rastegari

Partner:

Canadian Derivatives Institute

Discipline:

Statistics / Actuarial sciences

Sector:

Finance, insurance and business

University:

Western University