Approximations of Exotic Option Pricing Models

In order to properly manage the risks associated with trading complex financial products, CIBC carries out computationally expensive calculations to properly assess their exposure to various market factors. To make these computations more feasible, it is of interest to find new, efficient and approximate mathematical formulas to compute such exposures. It is also important to complement these new formulas with rigorous justification of the resulting approximation error. Such justification will provide confidence to practitioners at CIBC who will use these formulas in the future. By developing these methods, CIBC will be able to offer a wider variety of products to investors and as a result draw in new clients.

Faculty Supervisor:

Sebastian Jaimungal

Student:

David Farahany

Partner:

CIBC

Discipline:

Statistics / Actuarial sciences

Sector:

University:

Program:

Accelerate