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.
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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
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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.
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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@keen.esi.ac.at