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- High-Resilience Limits of Block-Shaped Order Books | Applied Financial Mathematics

order book model of Obizhaeva and Wang converge to their counterparts in the reduced form model of Almgren and Chriss as the resilience of the order book tends to infinity As an application of this limit theorem we obtain that optimal strategies in the Almgren Chriss model with small quadratic trading costs are also asymptotically optimal for highly resilient block shaped order books This is a joint work with Jan

Original URL path: http://horst.qfl-berlin.de/high-resilience-limits-block-shaped-order-books (2016-04-24)

Open archived version from archive - Critical percolation in some random fractal gaskets | Applied Financial Mathematics

and Scott She eld on coupling between various conformal loop ensembles these are natural random collection of loops in a two dimensional domain One motivation for this work is to try to shed some light on what continuous critical percolation within random CLE gaskets the space left inbetween the loops could be and on the continuous analogue of the coupling between Potts models and their random cluster representations News Computer

Original URL path: http://horst.qfl-berlin.de/critical-percolation-some-random-fractal-gaskets (2016-04-24)

Open archived version from archive - Minicourse on some new aspects of Backward Stochastic Differential Equations: theory and application to Finance | Applied Financial Mathematics

Finance like for instance the utility maximization problem superheding and quantitle hedging problems For each of these questions we will review the by now well established results and present some new developments The course will be divided into fours lectures and we provide below a brief description of them Lecture 1 In the first lecture we will rst show how BSDEs naturally arise in the study of several problems in Finance like the utility maximization problem or for representing risk measures Then we will provide general existence uniqueness results for Lipschitz and quadratic BSDEs Lecture 2 In the second lecture we will see that in order to go further in the description of the solution to the utility maximization problem one needs to consider a generalization of BSDEs namely Forward Backward SDEs FBSDEs We will present the derivation of this system of equations and some theoretical results that can be derived for these equations Lecture 3 In this lecture we will consider a slightly di fferent class of problems in Finance which are related to the superhedging problem and which are known under the name of quantile hedging or Stochastic Target problems with controlled loss We will once again transpose this practical problem into the study of a new class of equations called BSDEs with weak terminal conditions Lecture 4 Finally we will deal with a theoretical issue which is motivated by the numerical analysis of BSDEs that is the existence of densities for the marginal laws of the solution to a BSDE This issue has been very few studied and we will revisit and extend results of the literature Our approach is based on the use of the Malliavin calculus and of the Nourdin Viens formula that will be briefy introduced during this lecture Locations 22 04 2014 3

Original URL path: http://horst.qfl-berlin.de/minicourse-some-new-aspects-backward-stochastic-differential-equations-theory-and-application-financ (2016-04-24)

Open archived version from archive - Arbitrage of the first kind and Filtration Enlargements in Semimartingale Financial Models | Applied Financial Mathematics

Kind NA1 or equivalently No Unbounded Profit with Bounded Risk condition in a general semimartingale financial model under initial and under progressive filtration enlargements In both cases I will provide a simple and general condition which is sufficient to ensure this stability for any fixed semimartingale model Furthermore I will give a characterization of the NA1 stability for all semimartingale models This talk is based on a joint work with

Original URL path: http://horst.qfl-berlin.de/arbitrage-first-kind-and-filtration-enlargements-semimartingale-financial-models (2016-04-24)

Open archived version from archive - Regularization by noise for dispersive equation | Applied Financial Mathematics

Erhard Schmidt Saal 6 p m Khalil Chouk TU Berlin We discuss local and global existence for dispersive equation with irregular modulated dispersion and we show in some case that the irregularity of the modulation improve the theory of the well posedness 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

Original URL path: http://horst.qfl-berlin.de/regularization-noise-dispersive-equation (2016-04-24)

Open archived version from archive - Quanto Adjustments in the Presence of Stochastic Volatility | Applied Financial Mathematics

are here Home Quanto Adjustments in the Presence of Stochastic Volatility Quanto Adjustments in the Presence of Stochastic Volatility 23 January 2014 Kategorie Research Seminars Rudower Chaussee 25 Room 1 115 5 15 p m Alexander Giese Unicredit Bank München We consider the pricing of quanto options in the presence of stochastic volatility While it is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options we point out that an additional quanto adjustment in the underlying s volatility needs to be considered in the presence of stochastic volatility By deriving closed form solutions for standard quanto options we demonstrate that this additional quanto adjustment also has a material impact on quanto options Furthermore numerical examples are presented together with a comparison of the proposed model against three commonly used standard pricing methods for quanto options 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

Original URL path: http://horst.qfl-berlin.de/quanto-adjustments-presence-stochastic-volatility (2016-04-24)

Open archived version from archive - Efficient PDE methods for multivariate option pricing | Applied Financial Mathematics

this site You are here Home Efficient PDE methods for multivariate option pricing Efficient PDE methods for multivariate option pricing 23 January 2014 Kategorie Research Seminars Rudower Chaussee 25 Room 1 115 4 15 p m Oleg Reichmann ETH Zürich We consider the numerical approximation of Kolmogorov equations arising in the context of option pricing under L evy models and beyond in a multivariate setup The existence and uniqueness of variational solutions of the partial integro differential equations PIDEs is established in Sobolev spaces of fractional or variable order Most discretization methods for the considered multivariate models suffer from the curse of dimensionality which impedes an efficient solution of the arising systems We tackle this problem by the use of sparse discretization methods such as classical sparse grids or tensor train techniques Numerical examples in multiple space dimensions confirm the efficiency of the described methods 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 if

Original URL path: http://horst.qfl-berlin.de/efficient-pde-methods-multivariate-option-pricing (2016-04-24)

Open archived version from archive - 2nd Humboldt-Princeton Conference | Applied Financial Mathematics

Measuring Financial Risk Credit Energy and Illiquidity is jointly organized by the Department of Operartions Research and Financial Engineering Princeton University and the Collaborative Research Center 649 Economic Risk of Humboldt Universität zu Berlin the Center for Applied Statistics and Econometrics CASE and the Quantitative Products Laboratory News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University

Original URL path: http://horst.qfl-berlin.de/2nd-humboldt-princeton-conference (2016-04-24)

Open archived version from archive