Brown bag seminar with Eckhard Platen, University of Technology, Sydney

Brown Bag Seminar with Eckhard Platen, University of Technology, Sydney

 
Torsdag, 12 juni, 2014 - 12:00 to 12:45

The Department of Finance and FRIC are happy to announce the upcoming Brown Bag Seminar with Eckhard Platen, University of Technology, Sydney

Eckhard Platen will present:

A Benchmark Approach to Quantitative Finance

 

Abstract: 

This lecture introduces into the benchmark approach, which provides a generalized framework for financial market modeling. It allows for a unified treatment of derivative pricing, portfolio optimization and risk management. It extends beyond the classical asset pricing theories, with significant differences emerging for extreme maturity contracts and risk measures relevant to pensions and insurance. The Law of the Minimal Price will be presented for derivative pricing. A Naïve Diversification Theorem allows forming a proxy for the numeraire portfolio. The richer modeling framework of the benchmark approach leads to the derivation of tractable, realistic models under the real world probability measure. It will be explained how the approach differs from the classical risk neutral approach. Examples on long term and extreme maturity derivatives demonstrate the important fact that a range of contracts can be less expensively priced and hedged than suggested by classical theory.

References:

Platen, E. and Heath, D.: A Benchmark Approach to Quantitative Finance. Springer Finance (2010).
Platen, E. and Bruti-Liberati, N.: Numerical Solution of Stochastic Differential Equations with Jumps in Finance. Springer (2010).

 

Location:

Solbjerg Plads 3, 2000 Frederiksberg
Augustinus Fonden: Senate Meeting Room

Sidst opdateret: Department of Finance // 17/12/2017