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統計数学セミナー
過去の記録 ～04/23｜次回の予定｜今後の予定 04/24～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2013年01月28日(月)
13:00-14:10 数理科学研究科棟(駒場) 006号室
FMSP共催.参加をご希望される方は鎌谷 (阪大基礎工); kamatani at sigmath.es.osaka-u.ac.jpまでご連絡ください.
Ernst August Frhr. v. Hammerstein 氏 (Albert-Ludwigs-Universität Freiburg)
Laplace and Fourier based valuation methods in exponential Levy models (JAPANESE)
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2012/13.html
http://faculty.ms.u-tokyo.ac.jp/~fmsp/jpn/conferences/fmsp.html
FMSP共催.参加をご希望される方は鎌谷 (阪大基礎工); kamatani at sigmath.es.osaka-u.ac.jpまでご連絡ください.
Ernst August Frhr. v. Hammerstein 氏 (Albert-Ludwigs-Universität Freiburg)
Laplace and Fourier based valuation methods in exponential Levy models (JAPANESE)
[ 講演概要 ]
A fundamental problem in mathematical finance is the explicit computation of expectations which arise as prices of derivatives. Closed formulas that can easily be evaluated are typically only available in models driven by a Brownian motion. If one considers more sophisticated jump-type Levy processes as drivers, the problem quickly becomes rather nontrivial and complicated. Starting with the paper of Carr and Madan (1999) and the PhD thesis of Raible (2000), Laplace and Fourier based methods have been used to derive option pricing formulas that can be evaluated very efficiently numerically. In this talk we review the initial idea of Raible (2000), show how it can be generalized and discuss under which precise mathematical assumptions the Laplace and Fourier approach work. We then give several examples of specific options and Levy models to which the general framework can be applied to. In the last part, we present some formulas for pricing options on the supremum and infimum of the asset price process that use the Wiener-Hopf factorization.
FMSP Lectures
http://faculty.ms.u-tokyo.ac.jp/~fmsp/jpn/conferences/fmsp.html
[ 参考URL ]A fundamental problem in mathematical finance is the explicit computation of expectations which arise as prices of derivatives. Closed formulas that can easily be evaluated are typically only available in models driven by a Brownian motion. If one considers more sophisticated jump-type Levy processes as drivers, the problem quickly becomes rather nontrivial and complicated. Starting with the paper of Carr and Madan (1999) and the PhD thesis of Raible (2000), Laplace and Fourier based methods have been used to derive option pricing formulas that can be evaluated very efficiently numerically. In this talk we review the initial idea of Raible (2000), show how it can be generalized and discuss under which precise mathematical assumptions the Laplace and Fourier approach work. We then give several examples of specific options and Levy models to which the general framework can be applied to. In the last part, we present some formulas for pricing options on the supremum and infimum of the asset price process that use the Wiener-Hopf factorization.
FMSP Lectures
http://faculty.ms.u-tokyo.ac.jp/~fmsp/jpn/conferences/fmsp.html
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2012/13.html
http://faculty.ms.u-tokyo.ac.jp/~fmsp/jpn/conferences/fmsp.html
