[seminarioDeProbabilidad] Seminario de Probabilidad y Procesos Estocásticos

[María Clara Fittipaldi]

Miércoles 11 de Septiembre a las 13h15,
Auditorio Alfonso Nápoles Gándara
IMATE

Matt Lorig <https://sites.google.com/view/mattlorig>
Department of Applied Mathematics
University of Washington

Nos hablará sobre "Relating path statistics to terminal distributions for a
class of positive martingales".
Abstract: We consider a class of strictly positive martingales satisfying
dS(t) = A(t)S(t)dW(t) where W is a Brownian motion and the process A is a
stochastic process independent of W. We derive various results of the form
E f(S(T)) = E F[S] , where E denotes expectation, F[S] is a functional of
the path of S (e.g., possibly depending jointly on the running maximum,
running minimum and quadratic variation of S) and the function f is
determined from F. From a financial standpoint, these results allow us to
determine the value of a path-dependent claim on a stock S relative to
value of a path-independent European claim. This is joint work with Peter
Carr and Roger Lee.

Organizan
Manuel Domínguez de la Iglesia
María Clara Fittipaldi
Arno Siri-Jégousse

Página web:
http://www.matem.unam.mx/~seminarioproba/

Para suscribirse a la lista de distribución entrar a:
http://higgs.matem.unam.mx/cgi-bin/mailman/listinfo/seminarioprobabilidadyprocesos

y seguir el procedimiento
------------ próxima parte ------------
Se ha borrado un adjunto en formato HTML...
URL: <http://higgs.matem.unam.mx/pipermail/seminarioprobabilidadyprocesos/attachments/20190906/80a0e2b3/attachment.html>