2017年度

Math-Fi seminar on 22 Dec.

2017.12.21 Thu up
  • Date: 22 Dec. (Fri.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Tai-Ho Wang
  • Title: Works in progress related to quantitative finance
  • Abstract: In this talk, I will introduce the projects that I am currently working on and their possible extensions. The first concerns the pricing of an exotic option called target volatility option in the fractional SABR model. Secondly, we concern ourselves in an equilibrium model on asymmetric information and insider trading in continuous time taking into account adverse selection and inventory cost. Lastly, we propose an approximate maximum likelihood estimator for the drift term of a  fractional Brownian motion with drift. 

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