Departamenul de Matematici Aplicate impreuna cu Departamentul de Moneda si Banci din cadrul ASE are deosebita placere de a va invita la seminarul stiintific:
On securitization, market completion and equilibrium risk transfer
condus de Associate Professor Pirvu Traian, Department of Mathematics & Statistics, McMaster University (1280 Main Street West, Hamilton, Ontario, Canada L8S 4K1).
Abstract. We propose an equilibrium framework within which to price financial securities written on non-tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of a backward stochastic differential equation. The agents are exposed to financial and non-financial risk factors. They can hedge their financial risk in the stock market and trade a structured derivative whose payoff depends on both financial and external risk factors. We prove an existence and uniqueness of equilibrium result for derivative prices and characterize the equilibrium market price of risk in terms of a solution to a non-linear BSDE.
Prezentarile se tin la adresa: Mihail Moxa nr 7 corp C et 2, Sala 3209, Vineri 26 Februarie 2016 ora 18:00.
Coordonate autor: doctorat in Matematici Financiare la Carnegie Mellon University (USA) in anul 2005 sub indrumarea Profesorului Steven Shreve si postdoctorat sub indrumarea Profesorului Ivar Ekeland.