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This work (based on a thesis submitted and presented at TU Graz in partial fulfillment of the requirements for the degree of a Diplom-Ingenieur) examines the valuation problem for Spread Options in market models, where the volatility process is of the Ornstein-Uhlenbeck type. An appropriate formulation of these models in a multidimensional setting requires a matrix subordination approach, i.e., the Ornstein-Uhlenbeck process is driven by a matrix-valued Lévy process, whose increments only take values in the cone of positive semidefinite symmetric matrices.

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Martin Glanzer was born on 28 July 1989 in Klagenfurt, Austria. He holds a B.Sc. in Technical Mathematics and graduated from TU Graz in Financial and Actuarial Mathematics, in 2014. He spent one semester at the Royal Institute of Technology in Stockholm, Sweden, and developed his Master´s thesis at the Politecnico di Milano in Milan, Italy.

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