2016年度

Math-Fi seminar on 25 Aug.

2016.08.23 Tue up
  • Date : 25 Aug. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker:  Yuri Imamura(Tokyo university of science)
  • Title: The Value of Timing Risk
  • Abstract: In the talk, we are interested in the risk to cover (some portion of) the price of the option at a default time.  The risk, which we call timing risk, is a risk of uncertain dividend, especially of its payment time. Credit derivatives typically are exposed to the risk. We will discuss how it could be hedged by a static position of European path-independent options, generalizing  P. Carr and J. Picron (1999) where they applied the semi-static hedging formula of barrier options to hedge a payment at a stopping time in a Black-Scholes environment. We will give an exact hedging formula in an multi-dimensional general diffusion setting. 

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