14:15
Forthcoming events in this series
14:15
14:15
14:15
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
14:15
14:15
14:15
14:15
14:15
Bayesian detection of a chnge point before an observable time
Abstract
/notices/events/abstracts/mathematical-finance/tt06/Lokka19May2006.shtml
17:00
Behavioral Finance : A Tale of Two Anomalies(Noumra Lecture)
Abstract
In the Said Business School
14:15
From local Volatility Models to Local Levy and Squared-Bessel Processes
14:15
Explicit solutions of some utility maximization problems in incomplete markets
14:15
Grand canonical minority games: stylized facts and the role of memory, information and risk
14:15
14:15
The Cost of Assuming Continuous Trading in Underlying Financial Securities
14:15
14:00
14:15
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14:15
Modelling Credit Spread, Implied Volatility, and Optimal Capital Structure with Endogenous Default and Jump Risk
Abstract
A firm issues a convertible bond. At each subsequent time, the bondholder
must decide whether to continue to hold the bond, thereby collecting coupons, or
to convert it to stock. The bondholder wishes to choose a conversion strategy to
maximize the bond value. Subject to some restrictions, the bond can be called by
the issuing firm, which presumably acts to maximize the equity value of the firm
by minimizing the bond value. This creates a two-person game. We show that if
the coupon rate is below the interest rate times the call price, then conversion
should precede call. On the other hand, if the dividend rate times the call
price is below the coupon rate, call should precede conversion. In either case,
the game reduces to a problem of optimal stopping. This is joint work with Mihai
Sirbu.
14:15
Modelling Credit Spread, Implied Volatility, and Optimal Capital Structure with Endogenous Default and Jump Risk
Abstract
- It can generate flexible credit spread curves.
- It leads to flexible implied volatility curves, thus providing a link between credit spread and implied volatility.
- It implies that high tech firms tend to have very little debts.
- It yields analytical solutions for debt and equity values.
14:15
Evaluation of European and American options under de Variance Gamma
process with grid stretching and accurate discretization.
Abstract
In this talk, we present several numerical issues, that we currently pursue,
related to accurate approximation of option prices. Next to the numerical
solution of the Black-Scholes equation by means of accurate finite differences
and an analytic coordinate transformation, we present results for options under
the Variance Gamma Process with a grid transformation. The techniques are
evaluated for European and American options.
14:15
Esscher transforms, martingale measures and optimal hedging in incomplete diffusion models.
14:15
Homogenization methods for stochastic volatility models with time-dependent coefficients.
14:15