<div dir="ltr"><div dir="ltr"><div style="font-family:tahoma,sans-serif" class="gmail_default"><div dir="ltr"><div class="gmail_default" style="font-family:tahoma,sans-serif"><div dir="ltr"><div><div style="font-family:tahoma,sans-serif" class="gmail-m_1127593839324659520gmail-m_8663817463667007039gmail-m_-491439723699933741gmail-m_1393593915416205515ydpca08b5c5yiv6413807288gmail_default"><div><div style="font-family:tahoma,sans-serif" class="gmail-m_1127593839324659520gmail-m_8663817463667007039gmail-m_-491439723699933741gmail-m_1393593915416205515ydpca08b5c5yiv6413807288gmail_default"><font size="2">Miércoles 11 de Septiembre a las 13h15, <br></font>Auditorio Alfonso Nápoles Gándara <br> IMATE <br></div><div style="font-family:tahoma,sans-serif" class="gmail-m_1127593839324659520gmail-m_8663817463667007039gmail-m_-491439723699933741gmail-m_1393593915416205515ydpca08b5c5yiv6413807288gmail_default"><br></div><div style="font-family:tahoma,sans-serif" class="gmail-m_1127593839324659520gmail-m_8663817463667007039gmail-m_-491439723699933741gmail-m_1393593915416205515ydpca08b5c5yiv6413807288gmail_default"><a href="https://sites.google.com/view/mattlorig" target="_blank">Matt Lorig </a></div></div></div></div><div><span class="gmail-m_1127593839324659520gmail-m_8663817463667007039gmail-m_-491439723699933741gmail-m_1393593915416205515ydpca08b5c5yiv6413807288gmail_default" style="font-family:tahoma,sans-serif"><span class="gmail_default" style="font-family:tahoma,sans-serif">Department of Applied Mathematics
<br> University of Washington
</span></span></div><div><span class="gmail-m_1127593839324659520gmail-m_8663817463667007039gmail-m_-491439723699933741gmail-m_1393593915416205515ydpca08b5c5yiv6413807288gmail_default" style="font-family:tahoma,sans-serif"><br></span></div><div>Nos
hablará sobre "Relating path statistics to terminal distributions for a class of positive martingales<span class="gmail_default" style="font-family:tahoma,sans-serif">".</span></div><div><span class="gmail_default" style="font-family:tahoma,sans-serif"></span>Abstract: <span class="gmail_default" style="font-family:tahoma,sans-serif">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.
</span></div><div><br></div></div><div dir="ltr"><font size="2">Organizan</font></div><div dir="ltr"><div style="font-family:tahoma,sans-serif" class="gmail_default"><font size="2"><span class="gmail_default" style="font-family:tahoma,sans-serif"></span>Manuel Domínguez de la Iglesia</font></div><div><div class="gmail-m_1127593839324659520gmail-m_8663817463667007039gmail-m_-491439723699933741gmail-m_1393593915416205515ydpca08b5c5yiv6413807288gmail_default" style="font-family:tahoma,sans-serif"><font size="2">
María Clara Fittipaldi<br>
Arno Siri-Jégousse<br></font>
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