Analysing Options Strategies
Location: Adelaide SA
Duration: 5 months
Proposed start date: 4 March 2019
Please note: Due to funding requirements, students must have Australian Citizenship or Permanent Residency to apply. Any applicants not meeting this requirement will be ineligible for this project.
Exchange traded options (ETOs) enable all types of firms worldwide to manage financial risks in their businesses or transfer those risks to another party.
ETOs, as derivative financial products, are also traded by firms with profit objectives. By buying and selling call options and put options, these firms attempt to generate above-average risk-adjusted returns.
Using mathematical and statistical techniques it is possible to predict with some accuracy the level of risk firms assume by entering into ETO transactions. As ETOs are time sensitive or wasting assets some traders seek to sell these derivative products in the expectation that the risks they take on will not be realised, generating a consequent profit.
Since financial markets exhibit a high degree of randomness it is, however, usually not possible to know beforehand which risks will be realised and which will not. Where the risks are realised, the firms will either suffer a financial loss or must enter into further ETO transactions to parlay these risks.
This project will research the management of scenarios where one or more risks assumed by a firm is likely to be, or has been, realised. Can the outcomes be categorised? If so can a framework be developed to support a decision to either suffer a financial loss or further parlay the risk, and when to make that decision?
This project would suit a PhD student with skills in Quantitative Finance, Mathematics, Statistics, Physics, Computer Engineering, Quantitative Economics or Business.
- Skills in Mathematics and Statistics
- Existing knowledge of ETOs is desirable but not essential
- Programming skills in an appropriate language (VBA is acceptable) is desirable but not essential
Please visit APR Internship website for more information and details on how to apply.