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
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