Stochastic Analysis and Stochastic Finance Seminar

CANCELLED: A Continuous Time Bank Run Model for Insolvency, Recovery and Rollover Risks

Speaker(s): 
Gechun Liang (Oxford)
Date: 
Thursday, May 24, 2012 - 5:00pm
Location: 
TU Berlin, MA041, Strasse des 17. Juni 136, 10623 Berlin

In this talk, we propose a continuous time bank run model for incorporating insolvency, recovery and rollover risks. The firm finances by issuing both long and short term debt, and the short term debt holders need to decide whether to roll over or to withdraw their debt (i.e. to run the bank) when their contracts expire. We show there exists a threshold strategy (i.e. the bank run barrier) for the short-term creditors to decide when to run.

Bounds for rating override rates

Speaker(s): 
Dirk Tasche (FSA - Financial Services Authority, London)
Date: 
Thursday, May 24, 2012 - 4:00pm
Location: 
TU Berlin, MA041, Strasse des 17. Juni 136, 10623 Berlin

Overrides of credit ratings are important correctives of ratings that are determined by statistical rating models. Financial institutions and banking regulators agree on this because on the one hand errors with ratings of corporates or banks can have fatal consequences for the lending institutions and on the other hand errors by statistical methods can be minimised but not completely avoided. Nonetheless, rating overrides can be misused in order to conceal the real riskiness of borrowers or even entire portfolios.

Agents' Strategic Behavior and Risk-Sharing Inefficiency

Speaker(s): 
Michailis Anthrophelos (Department of Banking and Financial Management, Univerisity of Piraeus, Greece)
Date: 
Thursday, May 10, 2012 - 5:00pm
Location: 
TU Berlin, MA041, Straße des 17. Juni 136, 10623 Berlin

We consider the market of n financial agents who negotiate the sharing of their random incomes. Assuming that agents' risk measurements are induced by concave utility functionals, we write the optimal risk sharing as a solution of an equilibrium price-allocation problem. Given the optimal sharing rule, we address the situation where agents do not share their true random endowments but instead they report as endowments the random quantities that maximize their expected utility after the sharing rule is applied.

Numerical Option Pricing beyond Lévy

Speaker(s): 
Oleg Reichmann (ETH Zürich)
Date: 
Thursday, April 12, 2012 - 4:00pm
Location: 
TU Berlin, MA041, Straße des 17. Juni 136, 10623 Berlin

In this talk we consider the numerical approximation of option prices in different market models beyond Lévy processes. The Lévy setup is extended in several directions. The arising partial integrodifferential equations and inequalities are solved with the finite element method. European as well as American type contracts are considered. 

PIDE and Fourier methods for pricing European options in Levy models

Speaker(s): 
Kathrin Glau (Universität Wien)
Date: 
Thursday, February 9, 2012 - 5:15pm
Location: 
Ruodwer Chaussee 25, Room 1.115

Penalty methods for the numerical valuation of American options in complete and incomplete markets

Speaker(s): 
Christoph Reisinger (University of Oxford)
Date: 
Thursday, February 9, 2012 - 4:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Föllmer's measure, Novikov's condition and options on exploding exchange rates

Speaker(s): 
Johannes Ruf (University of Oxford)
Date: 
Thursday, January 26, 2012 - 5:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Market Risk Premium in Power Markets

Speaker(s): 
Rüdiger Kiesel (Universität Duisburg-Essen)
Date: 
Thursday, January 26, 2012 - 4:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Duality and Convergence for Binomial Markets with Friction

Speaker(s): 
Yan Dolinsky (Universität Zürich)
Date: 
Thursday, January 12, 2012 - 5:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Martingale Mass Transport and Robust Option Pricing

Speaker(s): 
Mathias Beiglböck (Universität Wien)
Date: 
Thursday, January 12, 2012 - 4:15pm
Location: 
Rudower Chaussee 25, Room 1.115

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