Mar
28
Old results and new tools for credit risk: A dynamic copula approach
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Events Archive
Find an Event
Currently selected filters
- Stochastic Analysis
- Applied Mathematics
Feb
26
Financial data and the hidden semimartingale model
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Nov
1
Hedging Variance Options on Continuous Semimartingales
Speaker Roger Lee University of Chicago http://www.math.uchicago.edu/~rl/ Description Variance swaps, which pay the realized variance of [the returns on] an underlying price process, have become a...
Oct
23
Consistent Calibration of CDO Tranches with the Generalized-PoissonLoss dynamical model
Speaker Damiano Brigo Banca IMI and Bocconi University http://www.damianobrigo.it Description We consider a dynamical model for the loss distribution of a pool of names. The model is based on the...
Oct
4
Indifference price with unbounded processes and claims: an Orlicz space approach
Description We consider a financial market where the discounted prices of the assets available for trading are modeled by a semimartingale that is not assumed to be locally bounded. In this case the...
Sep
19
Stochastic Analysis in Infinitely Dimensional Spaces and quasi-invariance of Wiener measures
Description We will use the quasi-invariance problem of Wiener measures as an example to explain the special difficulties of analysis in infinite dimensional spaces that are not present in finite...