[FAM-news] this week's seminars

Sandra Trenovatz sandra@fam.tuwien.ac.at
Mon, 14 Apr 2003 13:59:45 +0200


Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107 (map).

 Tu, 15.04.2003 Laurent Nguyen (UniversitÚ Paris
                Wiener-Hopf factorization for LÚvy processes and
                applications in mathematical finance

In an "exponential LÚvy model", i.e. when an asset price is modelled as
$S(t)=exp(X(t))$, where $X$ is a Levy process, the problem of pricing
certain exotic options is studied; these options involve barrier, lookback,
american and russian options. The Wiener-Hopf factorization of the Levy
exponent of $X$ plays an important role in this study, as well as a path
decomposition at the maximum similar to Williams' one for the Brownian

There is no seminar on Thursday this week.
Happy Easter.

ę by Financial and Actuarial Mathematics, TU Vienna, 2002