| EPSRC Reference: |
GR/S22998/01 |
| Title: |
Mathematical Theory of Real Options |
| Principal Investigator: |
Hughston, Professor LP |
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| Department: |
Mathematics |
| Organisation: |
Kings College London |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
01 October 2003 |
Ends: |
30 September 2006 |
Value (£): |
206,261
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| EPSRC Research Topic Classifications: |
| Mathematical Analysis |
Mathematical Aspects of OR |
| Statistics & Appl. Probability |
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Summary on Grant Application Form |
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The formulation and analysis of new investment decision models within a stochastic calculus framework has recently attracted considerable interest,and is of great importance to the pension fund and insurance industries. Such investment models offer a new perspective to the structuring and valuation of policies, and are significant also in other areas of the financial services industry where a coherent and rigorous approach to the valuation and risk management of long-term contingent cash-flow projections is essential. This new perspective leads to a more systematic and accurate approach to investment because it takes into account in a proper mathematical framework the value added by the presence of optionality in any given economic or financial activity. As such, the so-called theory of real options can incorporate many essential aspects of the uncertainty, irreversibility, and timing factors on which reasoned investment decisions necessarily depend.The proposed research aims to apply novel methods of mathematical finance to advance the mathematical foundations of the theory of real options, and to apply the theory to a number of outstanding problems in the general area of investment analysis and optimal investment policy making.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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