- Date: 10 Jan. (Thu)
- Place: W.W. 7th-floor
- Time: 16：30 — 18：45
- Speaker: Yasushi Ota, Atsushi Takeuchi
- 16:30 — 17:30:
- Speaker: Yasushi Ota
- Title: New mathematical approach for an inverse problem in financial markets
- Abstract: When we apply the Black-Scholes model to financial derivatives, one of most interesting problems is reconciling the deviation between the expected and observed values. In this seminar, we present the extension of the Black-Scholes model and recover a real drift from market prices. First, we explain our new mathematical approach for an inverse problem in financial markets. Then, for space-dependent a real drift, we obtain stable linearization and an integral equation. Next we find that using market prices with different strike prices enables us to identify the term structure of the real drift. Finally, by using microlocal exponential estimation, we prove the uniqueness of our new mathematical model in financial markets.
- 17:45 — 18:45:
- Speaker: Atsushi Takeuchi
- Title: Asymptotic behavor of densities for stochastic functional differential equations
日本語
English