FAM-news April 2003

fam-news@fam.tuwien.ac.at

1 participants
1 discussions

this week's seminars
by Sandra Trenovatz 14 Apr '03

14 Apr '03

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/

1 0

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

2012

2011

2010

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

FAM-news April 2003