Apr 2014-Mar 2015

Math-Fi seminar on 10 Jul.

2014.07.04 Fri up
  • Date : 10 Jul. (Thu)
  • Place: W.W. 7th-floor, 3rd lab. 
  • Time : 16:30 – 18:00
  • Speaker: Tomonori Nakatsu (Ritsumeikan University)
  • Title: Computation of Greeks with Malliavin calculus.
  • Abstract:In the first part of this talk, we shall prepare some basic tools of Malliavin calculus in order to apply them to the computation of Greeks. For simplicity, European options in the Black-Scholes model will be considered in this part.
    In the second part, we shall deal with options depending on discrete time maximum in a general model. Some formulas to compute the Greeks will be proved with Malliavin calculus.
    The first part of this talk is based on “Malliavin Calculus applied to Finance” by M. Montero and A. Kohatsu-Higa.

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