Kai Dai

BSc Financial Management(Shanghai University of Finance and Economics), MA Finance and Investment (University of Nottingham)


Room: A33 NB (unused)
Tel: +44 (0) 115 66451
Email: lixkd4@nottingham.ac.uk

Current Status: Completed
Year of Registration: 2007
Expected Completion Date: /09/2010

Primary Funding Source:
Alumni scholarship and self

Research Topic:
Option pricing and Mortgage valuation

Research Details:
This research uses advanced numerical methods to price financial options and real options (especially mortgage). As for mortgage valuation, two forms of endogenous termination prior to maturity of the mortgage—prepayment and default are considered as an American-style call option and a European compound put option respectively (Kau and Keenan, 1995). Then mortgages are valued as derivative assets. The main purpose of the research is to propose new option-based pricing models for different kinds of mortgages, especially for adjustable-rate mortgages (ARMs).

Research Supervisor/s: David Newton

Division: Economics and Finance