Timetable
Tu, 20.10.2009, 16:30, Freihaus Hörsaal 3
(1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section)
Giovanni Cesari (UBS Investmentbank London)
"Modelling, Pricing, and Hedging Counterparty Credit Exposure
(Vortragsreihe aus Finanz- und Versicherungsmathematik)
http://www.fam.tuwien.ac.at/events/vr/20091020.php
Furthermore this time we also announce two interesting talks at
University of Vienna:
Th, 22.10.2009, 11:15-12:15, Seminarraum S1
(1090 Wien, Althanstrasse 12)
Patrick Cheridito (Princeton University)
"Processes of class Sigma, last passage times and drawdowns"
(Abstract below)
Th, 22.10.2009, 13:15, Seminarraum C 209
(1090 Wien, Nordbergstr. 15, UZA 4)
Nicolas Vogelpoth (Vienna Institute of Finance)
"L^0-convex Analysis and Conditional Risk Measures"
http://plone.mat.univie.ac.at/events/2009/defensio-nicolas-vogelpoth.pdf
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Abstract of P. Cheridito's talk:
"Processes of class Sigma, last passage times and drawdowns"
(joint work with Ashkan Nikeghbali and Eckhard Platen)
We propose a general framework to study last passage times, suprema and
drawdowns of a large class of stochastic processes. A central role in
our approach is played by processes of class Sigma. After investigating
convergence properties and a family of transformations that leave
processes of class Sigma invariant, we provide three general
representation results. The first one allows one to recover a process of
class Sigma from its final value and the last time it visited the
origin. In many situations this gives access to the distribution of the
last time a stochastic process hit a certain level or was equal to its
running maximum. It also leads to a formula recently discovered by
Madan, Roynette and Yor expressing put option prices in terms of last
passage times. Our second representation result is a stochastic integral
representation of certain functionals of processes of class Sigma, and
the third one gives a formula for their conditional expectations. From
the latter one can deduce the laws of a variety of interesting random
variables such as running maxima, drawdowns and maximum drawdowns of
suitably stopped processes. As an application we discuss the pricing and
hedging of options that depend on the running maximum of an underlying
price process and are triggered when the underlying drops to a given
level or alternatively, when the drawdown or relative drawdown of the
underlying attains a given height.
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 13.10.2009 Wolfgang Runggaldier
(University of Padua, Italy)
"Pricing under incomplete information without
equivalent martingale measures"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
seminars within one week
Tu, 06.10.2009, 16:30, HS 7 Schütte-Lihotzky (Karlsplatz 13,
main building of TU, stair case 7, ground floor)
Mario Wüthrich (ETH Zürich, Switzerland)
"Modellierung des Abwicklungsergebnisses im neuen
Solvenz-Modell"
Vortragsreihe aus Finanz- und Versicherungsmathematik
http://www.fam.tuwien.ac.at/events/vr/20091006.php
Th, 08.10.2009, 10:30, Hörsaal 4 Hochstetter (Karlsplatz 13,
main building of TU, court 1, ground floor)
Martin Schweizer (ETH Zürich, Switzerland)
"Horizon-dependence in optimal portfolio choice"
http://www.fam.tuwien.ac.at/events/index.php?showabstract=20091008