Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Dr. Philipp Schoenbucher (Universitaet Bonn) einen
Vortrag mit dem Titel:
"Default Risk in a Libor Market Model"
ACHTUNG: AUSNAHMETERMIN DONNERSTAG 17 UHR!!!
Zeit: DONNERSTAG, 6. IV 2000, 17 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Der Vortrag findet IN ENGLISCHER SPRACHE statt.
Abstract der zugrundeliegenden Arbeit
"A Libor Market Model with Default Risk":
In this paper a discrete-tenor model for default risk is
developed along the lines of the Libor Market Models by
Miltersen / Sandmann / Sonder-mann (1997) and Brace / Gatarek / Musiela
(1997). The effective forward rates and effective forward credit spreads
are modelled as diffusion processes with a lognormal volatility structure,
recovery is modelled as a fraction of the par value of the defaulted
coupon
bond. No-arbitrage dynamics of the forward rates and forward spreads are
derived, as well as closed-form solutions for defaultable
coupon bonds, default swap rates and asset swap rates, and approximate
solutions are given for default swaptions. Furthermore, the implementation
of the model is discussed.
----------------------------
Im Rahmen des CCEFM-Programms wird Herr Dr. Schoenbucher
auch an der TU vortragen:
"A Market Model of Stochastic Volatility"
Zeit: Freitag, 7. IV 2000, 15 Uhr 30
Ort: Heinz Zemanek Saal
Favoritenstrasse 11, Erdgeschoss
1040 Wien
Mit besten Gruessen,
Markus Fulmek
+---------------------------------------------------------------------------+
Dear Ladies and Gentlemen,
Dr. Philipp Schoenbucher (University of Bonn) will give a talk
in the "Seminar Finanzmathematik" at the University of Vienna:
"Default Risk in a Libor Market Model"
ATTENTION: EXCEPTIONAL DATE THURSDAY 17:00!!!
Time: THURSDAY, 6. IV 2000, 17:00
Location: Hoersaal 1
Institute of Mathematics
Strudlhofgasse 4
1090 Vienna
The talk will be IN ENGLISH.
----------------------------
Dr. Schoenbucher will also give a talk at the Technical University:
"A Market Model of Stochastic Volatility"
Time: Friday, 7. IV 2000, 15:30
Location: Heinz Zemanek Saal
Favoritenstrasse 11, ground floor
1040 Vienna
Best regards,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW:
http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at