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April 2003
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fam-news@fam.tuwien.ac.at
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Start a n
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ew thread
this week's seminars
by Sandra Trenovatz
Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 (map). Tu, 15.04.2003 Laurent Nguyen (Université Paris 6) Wiener-Hopf factorization for Lévy processes and some applications in mathematical finance In an "exponential Lévy model", i.e. when an asset price is modelled as $S(t)=exp(X(t))$, where $X$ is a Levy process, the problem of pricing certain exotic options is studied; these options involve barrier, lookback, american and russian options. The Wiener-Hopf factorization of the Levy exponent of $X$ plays an important role in this study, as well as a path decomposition at the maximum similar to Williams' one for the Brownian motion. There is no seminar on Thursday this week. Happy Easter. © by Financial and Actuarial Mathematics, TU Vienna, 2002
http://www.fam.tuwien.ac.at/events/
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