Past Forthcoming Seminars

21 May 2004
Pauline Barrieu
We develop a methodology to optimally design a financial issue to hedge non-tradable risk on financial markets.The modeling involves a minimization of the risk borne by issuer given the constraint imposed by a buyer who enters the transaction if and only if her risk level remains below a given threshold. Both agents have also the opportunity to invest all their residual wealth on financial markets but they do not have the same access to financial investments. The problem may be reduced to a unique inf-convolution problem involving some transformation of the initial risk measures.
  • Mathematical Finance Seminar
20 May 2004
Dr Brad Baxter
We calculate an analytic value for the correlation coefficient between a geometric, or exponential, Brownian motion and its time-average, a novelty being our use of divided differences to elucidate formulae. This provides a simple approximation for the value of certain Asian options regarding them as exchange options. We also illustrate that the higher moments of the time-average can be expressed neatly as divided differences of the exponential function via the Hermite-Genocchi integral relation, as well as demonstrating that these expressions agree with those obtained by Oshanin and Yor when the drift term vanishes.
  • Computational Mathematics and Applications Seminar