archive-de.com » DE » Q » QFL-BERLIN.DE Total: 217 Choose link from "Titles, links and description words view": Or switch to
"Titles and links view". |

- Minicourse on Lévy Processes and Optimal Stopping | Applied Financial Mathematics

option of going back to a previously rejected applicant This example of an optimal stopping problem has been well studied and still is and it will illustrate in a rather simple setting some important features of optimal stopping problems We will then move our attention to Levy processes which form a surprisingly rich class and for example include Brownian motion and compound Poisson processes In recent years they have found many nancial applications one of which is the study of so called American options Prior knowledge of Levy processes is not required for this minicourse as we will discuss and derive some of their main properties We study in detail a couple of well known optimal stopping problems such as the American put and an optimal prediction problem where the aim is to approximate optimally the time at which a Levy process attains its maximal value By studying these examples we will also be focusing on some important concepts from the general theory of optimal stopping 26 05 2014 15 00 17 00 room 1 023 BMS Lounge HU Berlin 27 05 2014 14 00 16 00 room MA748 RTG Lounge TU Berlin 28 05 2014 15 00 17 00

Original URL path: http://horst.qfl-berlin.de/minicourse-l%C3%A9vy-processes-and-optimal-stopping (2016-04-24)

Open archived version from archive - Interplay Between the Nonlinear and Nonlocal Components of Diffusions Driven by Levy Processes | Applied Financial Mathematics

site You are here Home Interplay Between the Nonlinear and Nonlocal Components of Diffusions Driven by Levy Processes Interplay Between the Nonlinear and Nonlocal Components of Diffusions Driven by Levy Processes 21 May 2014 Kategorie Research Seminars WIAS Berlin Mohrenstraße 39 Erhard Schmidt Hörsaal 5 30 p m Wojbor A Woyczynski Case Western Reserve University One of the motivations of our program was to develop understanding of the interplay between the nonlinear and nonlocal components in evolution equation driven by the infinitesimal generators of stochastic processes with jumps such as Levy processes and flights In particular we also studied probabilistic approximations propagation of chaos for several extensions of the classical quasilinear and strongly linear PDEs including the conservation laws porous medium and Hamilton Jacobi equations and reaction diffusion type equations for Darwinian evolutionary population models where the hydrodynamic limits may still preserve some background random noise News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d fine job opportunities d fine continuously offers job opportunities for students and university graduates both internships and permanent positions Please use the following Link

Original URL path: http://horst.qfl-berlin.de/interplay-between-nonlinear-and-nonlocal-components-diffusions-driven-levy-processes (2016-04-24)

Open archived version from archive - Overview on results and open problems related to heavy-tailed distributions | Applied Financial Mathematics

MA041 Straße des 17 Juni 136 6 p m Sergey Foss Heriot Watt University Edinburgh I will speak about various topics related to heavy tails formulate some results and hypotheses and introduce a number of open problems I will start with asymptotic analysis of tail probabilities for the supremum M supn Sn of a random walk S0 0 Sn X1 Xn given M is finite a s and review the five main cases two cases for heavy tailed distributions and three cases for light tailed distributions Then I formulate open questions related to the intermediate light tailed case Second I will consider sums and maxima of dependent random variables in the presence of heavy tails discuss general assumptions related to conditional independence and provide examples Third I will talk about the distributional asymptotics for time and value of an overshoot over a high level for a modulated random walk with heavy tailed distributions If time allows I ll also talk about a number of open problems on the tail asymptotics for a number of characteristics of multi dimensional stochastic queues and networks News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic

Original URL path: http://horst.qfl-berlin.de/overview-results-and-open-problems-related-heavy-tailed-distributions (2016-04-24)

Open archived version from archive - Foundations of Risk Management and Consistency of Risk Measure Estimates | Applied Financial Mathematics

here Home Foundations of Risk Management and Consistency of Risk Measure Estimates Foundations of Risk Management and Consistency of Risk Measure Estimates 8 May 2014 Kategorie Research Seminars TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 5 p m Mark Davis Imperial College London Recently there has been renewed debate about the relative merits of VaR and CVar as measures of financial risk together with an increasing insistence that these issues cannot be meaningfully discussed without taking into account how the relevant values are to be computed This prompts an enquiry into the basics of financial risk management and it seems that key insights from other areas such as weather forecasting have been ignored by the financial community We introduce a definition of consistency of a risk measure and show among other things that VaR has special properties not shared by any other risk measure News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d fine job opportunities d fine continuously offers job opportunities for students and university graduates both internships and permanent positions Please use

Original URL path: http://horst.qfl-berlin.de/foundations-risk-management-and-consistency-risk-measure-estimates (2016-04-24)

Open archived version from archive - Non-equivalent beliefs and subjective bubbles | Applied Financial Mathematics

2014 Kategorie Research Seminars TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Martin Larsson Swiss Finance Institute In a complete market the price bubble on a traded asset is defined as the difference between its market price and the smallest amount needed to replicate the associated cash flows It is well understood that the presence of nonzero bubbles is consistent with absence of arbitrage even when portfolio restrictions are absent However reconciling price bubbles with economic equilibrium has so far required portfolio constraints on some or all agents This paper develops a simple equilibrium model without portfolio constraints other than a standard solvency condition but with a beliefs structure exhibiting an extreme degree of heterogeneity agents do not even agree about zero probability events Equilibrium still exists in this setting and the strong heterogeneity naturally leads to price bubbles The bubbles are subjective in the sense that they are perceived by some but not necessarily all agents News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d fine job opportunities d fine continuously

Original URL path: http://horst.qfl-berlin.de/non-equivalent-beliefs-and-subjective-bubbles (2016-04-24)

Open archived version from archive - Macroscpic and microscopic structures of the family tree for decomposable branching processes | Applied Financial Mathematics

structures of the family tree for decomposable branching processes 30 April 2014 Kategorie Research Seminars WIAS Berlin Mohrenstraße 39 Room 406 6 p m Vladimir Vatutin Steklov Mathematical Institute Moscow A decomposable strongly critical Galton Watson branching process with N types of particles labelled 1 2 N is considered in which a type i parent may produce individuals of types j i only This model may be viewed as a stochastic model for the sizes of a geographically structured population occupying N islands the location of a particle being considered as its type The newborn particles of island i N 1 either stay at the same island or migrate just after their birth to the islands i 1 i 2 N Particles of island N do not migrate We investigate the structure of the family tree for this process the distributions of the birth moment and the type of the most recent common ancestor of the individuals existing in the population at a distant moment n News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d fine job opportunities d

Original URL path: http://horst.qfl-berlin.de/tba-1 (2016-04-24)

Open archived version from archive - Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals | Applied Financial Mathematics

a stock and a bank account with 0 interest rates we describe a trajectory based approach to pricing options The approach does not make use of probabilities We describe no arbitrage results and a minmax pricing interval Connections with the standard martingale based approach will also be explained If time permits we will describe a dynamic programming approach to evaluate the minmax price interval News Computer klüger als der Mensch

Original URL path: http://horst.qfl-berlin.de/discrete-non-probabilistic-market-models-arbitrage-and-pricing-intervals (2016-04-24)

Open archived version from archive - Satiation Preferences - The Case of Certainty | Applied Financial Mathematics

a neurobiological model we explore the origins of utility We find that the standard continuous time version of discounted utility suffers from a major inadequacy it does not possess the local substitution property consumption in nearby dates should be close substitutes and hence does not produce a continuous functional in the space of consumption paths This problem reverberates in the discrete time version of discounted utility if consumption takes place in nearby dates The literature has proposed one alternative the durability model that lacks economic appeal We propose a second alternative the satiation model The satiation model builds on the notion that marginal instant utility depends on an index of recent consumption called the satiation level We characterize the satiation model in terms of five intuitive properties and explore its implications Optimal consumption plans for the standard intertemporal allocation problem involves a mixture of discrete and continuous consumption e g an initial gulp followed by a steady flow of consumption and a final gulp Finally using a novel dataset collected from online social media we find evidence that real life consumption patterns exhibit precisely this pattern predicted by our model News Computer klüger als der Mensch Das vergessene Werkzeug der

Original URL path: http://horst.qfl-berlin.de/satiation-preferences-case-certainty (2016-04-24)

Open archived version from archive