MODELLING OF EQUITY AND DERIVATIVE MARKETS

Scientific project

The “Modelling Equity and Derivatives Markets” Research Initiative funds academic research on market microstructure, optimal execution and management of derivatives, in particular in incomplete markets.

Research on microstructure and optimal execution focuses on the modelling and estimation of market impact and execution costs, on optimal scheduling, on implementation tactics (placement of child orders, etc.) and on the pricing of blocks. Market making is also an important topic in this axis.

On the pricing and hedging of derivative products, the research supported by the RI covers the latest generations of models (LSV model, fractional volatility models, etc.) and on taking into account liquidity costs – whether for vanilla options or more complex options such as accelerated share repurchase (ASR). In addition, the RI places considerable emphasis on numerical methods.