1. Calibration and Pricing of Financial Derivatives using Forward PDEs (Mariapragassam)
Nowadays, various calibration techniques are in use in the financial industry and the exact re-pricing of call options is a must-have standard. However, practitioners are increasingly interested in taking into account the quotes of other derivatives as well.
We describe our approach to the calibration of a specific Local-Stochastic volatility model proposed by the FX group at BNP Paribas. We believe that forward PDEs are powerful tools as they allow to achieve stable and fast best-fit routines. We will expose our current results on this matter.
Joint work with Prof. Christoph Reisinger
2. Infinite discrete-time investment and consumption problem (Li)
We study the investment and consumption problem in infinite discrete-time framework. In our problem setting, we do not need the wealth process to be positive at any time point. We first analyze the time-consistent case and give the convergence of value function for infinite-horizon problem by value functions of finite-horizon problems.
Then we discuss the time-consistent case, and hope the value functions of finite-horizon problems will still converge to the infinite-horizon problem.