A master thesis from Aalborg University
Risk-neutral Derivation of In-play Bet Prices by Modeling Football Matches: A Weibull Point Process Approach
Author(s)
Term
4. term
Education
Publication year
2020
Submitted on
2020-06-02
Pages
99 pages
Abstract
In this thesis, we consider a risk-neutral approach to in-play betting using Weibull-based point processes to model the underlying football match which drives the bet prices. We investigate if the Fundamental Theorems of Asset Pricing are applicable in football betting markets by calibrating model prices to actual bet prices observed on a betting exchange. We do this by first analyzing the suitability of the Weibull process and the Weibull renewal process for modeling football goals, and then by formulating a risk-neutral valuation framework based on these models. We obtain promising results in both models when considering their limitations, however, we do not obtain conclusive evidence for the existence of a risk-neutral measure in these market models. However, by studying our results, we do find promising directions for further advancements in the application of the Fundamental Theorems of Assets Pricing in in-play football betting.
In this thesis, we consider a risk-neutral approach to in-play betting using Weibull-based point processes to model the underlying football match which drives the bet prices. We investigate if the Fundamental Theorems of Asset Pricing are applicable in football betting markets by calibrating model prices to actual bet prices observed on a betting exchange. We do this by first analyzing the suitability of the Weibull process and the Weibull renewal process for modeling football goals, and then by formulating a risk-neutral valuation framework based on these models. We obtain promising results in both models when considering their limitations, however, we do not obtain conclusive evidence for the existence of a risk-neutral measure in these market models. However, by studying our results, we do find promising directions for further advancements in the application of the Fundamental Theorems of Assets Pricing in in-play football betting.
Keywords
Risk-neutral ; Football ; Betting ; Pricing ; Weibull ; Point process ; Counting process
Documents
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