[CvGmt News] avviso seminario di finanza quantitativa "No Free Lunch Seminar" Dr. Marco Bianchetti (29.01.2013)
Valeria Giuliani
valeria.giuliani at sns.it
Mon Jan 21 10:43:46 CET 2013
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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