[CvGmt News] avviso seminario di finanza quantitativa "No Free Lunch Seminar" Dr. Marco Bianchetti (29.01.2013)

[Valeria Giuliani]

NO FREE LUNCH SEMINAR

seminari di finanza quantitativa


    Martedì 29 gennaio 2013

ore 13.00

_Scuola Normale Superiore_

Pisa

(Aula Bianchi)

*__*

*/Marco Bianchetti/*

/Intesa Sanpaolo/

Terrà un seminario dal titolo:

*/"/**Consistent No-Arbitrage Derivatives' Pricing Including Funding And 
Collateral**/"/*

*//*

*//*

*/Abstract:/*

/We revisit the problem of general no-arbitrage pricing of derivatives 
including the funding component. We show that, by adopting the 
no-arbitrage approach based on replication, PDE, and Feynman-Kac 
theorem, an appropriate treatment of the self-financing conditions 
allows straightforward and consistent proofs of the relevant pricing 
formulas covering a broad range of cases. In particular, we firstly 
recover the basic results for single currency funding of derivatives 
including, step by step, perfect or partial collateral, repo, and 
dividends. Next, we generalize the analysis to the case of multiple 
currency funding, and we examine the special case of interest rate 
derivatives. These results are useful to provide a simple and consistent 
framework of modern pricing formulas, fostering a broader understanding 
of the current market practice of CSA discounting, and to set solid 
theoretical grounds supporting further generalizations to include other 
risk factors, counterparty risk (CVA and DVA) in particular./

//

Tutti gli interessati sono invitati a partecipare.

Classe di Scienze

-- 
Valeria Giuliani
Scuola Normale Superiore
Area Didattica
Servizio Supporto attivita Didattiche
tel.050509260
Fax.050509045
v.giuliani at sns.it
adi.sd at sns.it

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