Mathematical Finance Internal Seminar
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Thu, 30/04/2009 13:00 |
Raphael Hauser |
Mathematical Finance Internal Seminar  |
DH 1st floor SR |
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Thu, 14/05/2009 13:00 |
Zhongmin Qian (Oxford) |
Mathematical Finance Internal Seminar |
DH 1st floor SR |
| This talk will be based on a joint work with Professor Terry Lyons and Mr Gechun Liang (OMI). I will explain a new approach to define and to solve a class of backward dynamic systems including the well known examples of non-linear backward SDE. The new approach does not require any kind of martingale representation or any specific restriction on the probability base in question, and therefore can be applied to a much wider class of backward systems. | |||
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Thu, 28/05/2009 13:00 |
Lei Jin |
Mathematical Finance Internal Seminar |
DH 1st floor SR |
| In this talk, we try to construct a dynamical model for the basket credit products in the credit market under the structural-model framework. We use the particle representation for the firms' asset value and investigate the evolution of the empirical measure of the particle system. By proving the convergence of the empirical measure we can achieve a stochastic PDE which is satisfied by the density of the limit empirical measure and also give an explicit formula for the default proportion at any time t. Furthermore, the dynamics of the underlying firms' asset values can be assumed to be either driven by Brownian motions or more general Levy processes, or even have some interactive effects among the particles. This is a joint work with Dr. Ben Hambly. | |||
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Thu, 11/06/2009 13:00 |
Alison Etheridge |
Mathematical Finance Internal Seminar |
DH 1st floor SR |
| We take a leisurely look at some mathematical models from population genetics and the ways that they can be analysed. Some of the models have a very familiar form - for example diffusion models of population size look a lot like interest rate models. But hopefully there will also be something new. | |||
