Einladung
zum
Betriebswirtschaftlichen Forschungsseminar
am BWZ
Prof. Thaleia Zariphopoulou University of Wisconsin, Madison, USA
Market frictions and Derivative Pricing
Abstract: In this talk, I will address the problem of pricing derivative securities in markets with frictions, namely transaction costs and stochastic volatility. The approach is based on utility maximization and not on replication arguments. The mathematical tools stem from the theory of stochastic control and nonlinear differential equations.
Dienstag, 1. Oktober 1996, 14.15 Uhr, HS 8 BWZ Bruennerstrasse 72, 1210 Wien
o. Prof. W. Schachermayer =========================================================================