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Fellowship & Grant details

Fellowship posted by Italian Ministry of Education, University and Research (03/10/2013 02.21)

Hedging and pricing of derivatives in incomplete markets under partial information

Please note that the job is no longer active!

The proposed research aims to studying risk-minimizing hedging for a market driven by general semimartingales, under incomplete information. In particular, financial markets where the risky assets are described by stochastic processes with jumps and that allow default will be considered. Information in the market is incomplete for instance when investors can observe only asset prices and not the underlying stochastic factors, or if investors receive information with delay. The above described setting requires dealing with filtering problems with mixed type observation.

Please note that the full description may be available in the national language since some job boards have their own publication policy. Thank you for your understanding!

Research Fields

Mathematics - Mathematical analysis


Programme Description
Annual budget22947
International mobility required ?no
Eligible destination country/ies for fellowsAll
Eligibility of fellows: country/ies of residenceAll
Eligibility of fellows: nationality/iesAll
Website of Fellowship Programmewww.unich.it
Fellowship's Details
Career StageExperienced researcher or 4-10 yrs (Post-Doc)
Research ProfilesNot defined
Employment contract with full social securityno
Total amount per fellowship per year22947
Currencyeuro
Covers salaryyes
Covers travel and subsistenceno
Covers research costsno
Maximum duration of fellowship24
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Application deadline

31/10/2013

Other fellowship details
EURAXESS ID

60516

Funding organisation / Contacts
Università

Public research
Chieti-Pescara - Italy
www.unich.it
E-mails
assegnidiricerca@unich.itPhones
0871/3556080

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