The aim of this Faraday Partnership project is to develop a model of securities prices without assuming the efficient markets hypothesis. The principles of behavioural finance will be combined with rigorous mathematical techniques to account for an inefficient market setting. Of particular interest is the application of the new model to the pricing of credit derivatives.

Project staff and support

Daniel Jones (Postgraduate Faraday Associate, University of Oxford)
Sam Howison (Academic supervisor, University of Oxford)
Tim Boxer (Technology Translator, Smith Institute)

This project is being carried out at the University of Oxford, in conjunction with KBC Financial Products. It is supported by an EPSRC industrial CASE award, made available through the Faraday Partnership for Industrial Mathematics. Start date: October 2002; duration: 3 years.

related resources:

»	Pricing financial securities
	Project summary: Pricing financial securities
	Further Reading

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