[CvGmt News] avviso Colloqui Classe di Scienze prof. Damiano Brigo (16.10.2013)

[valeria.giuliani at sns.it]

Colloqui Classe di Scienze


    Mercoledì 16 ottobre 2013

ore 15:00

_Scuola Normale Superiore_

Pisa

(Sala Azzurra)

*Prof. Damiano Brigo*

/Imperial College, London, UK///

//

Terrà un seminario dal titolo:

*/"/**The ongoing revolution in financial modeling and the possible end 
of platonic pricing: a stochastic analysis approach to credit and 
funding liquidity risk/"/*

*/Abstract:/**//*

/The market for financial products and derivatives reached an 
outstanding notional size of 708 USD Trillions in 2011, amounting to ten 
times the planet gross domestic product. Even discounting double 
counting, derivatives appear to be an important part of the world 
economy and have played a key role in the onset of the financial crisis 
in 2007. We introduce the Nobel-awarded option pricing paradigm by Black 
Scholes and Merton, hinting at precursors such as Thales, Bachelier and 
De Finetti. We explain how the self financing condition coupled with 
Ito's formula lead to the Black Scholes Partial Differential Equation 
(PDE) for basic option payoffs. We hint at the Feynman Kac theorem that 
allows to interpret the Black Scholes PDE solution as the expected value 
under a risk neutral probability of the discounted future cash flows, 
presenting the detailed solution for Call Options on equity, and 
highlighting the fundamental fact that the option price does not depend 
on the expected rate of return of the related underlying asset. Finally, 
we embed this theory in the recent financial landscape, re-discuss its 
assumptions and present a high level view of current issues in financial 
modeling, especially funding liquidity costs and credit risk, leading to 
an intuitive description of Nonlinear PDEs, recursive equations and 
Backward Stochastic//Differential Equations (BSDEs). In a provocative 
conclusion, the challenges of recursive, holistic and 
aggregation-dependent nonlinear pricing algorithms are highlighted, and 
we explain how this may finally relegate Platonic pricing to history 
books, an awareness that, ironically, industries different from the 
financial one have shown for a long time. /

Tutti gli interessati sono invitati a partecipare.

//

-- 
--------------------------------------------------------------------------------
Valeria Giuliani
Scuola Normale Superiore
Servizio alla Didattica e Allievi
Tel. 050-509260
Piazza dei Cavalieri, 7
56126 Pisa
E-Mail: v.giuliani at sns.it
E-Mail: classi at sns.it
  
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