Modeling of Currency Trading Markets and Pricing their Derivatives in Markov-modulated Environment

The proposed research project, undertaken by the intern, is devoted to the modeling of currency trading markets and their derivatives in Markov-modulated environment and possible creation proprietary algorithm trading software for this case with EUR/USD as a trading model. The research covered by these activities will include the development of the domestic and foreign equity and commodity markets and their prices of risk in Markov-modulated environment, and also possible creation proprietary algorithm trading software with underlying EUR/USD as a trading model. The research proposal is new and important not only from theoretical but also from practical point of views, and cover current gap in research and algorithm trading software.

Faculty Supervisor:

Dr. Anatoliy Swishchuk

Student:

Maksym Tertychnyi

Partner:

Winsor Global Financial Inc.

Discipline:

Mathematics

Sector:

Finance, insurance and business

University:

University of Calgary