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Simulation of the maximum of a Levy and applications in finance
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When
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5.15 on Thursday 22nd October 2009
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Where
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B617, Leverhulme Library, Columbia House
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Presentations
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Speaker
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Andreas Kyprianou
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From
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University of Bath
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Abstract
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Credit risk modelling as well as the pricing of exotic options often boils down to knowing the law of the maximum of a Levy process at a finite time. Unfortunately it is very rare to have an analytical expression for this object and therefore numerical techniques must be sought. I will introduce a completely new method for simulating the distribution of the maximum at a finite time using extremely basic Monte-Carlo methods and an unusual trick involving the so-called Wiener-Hopf factorization.
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For further information
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Sabina Allam (Postgraduate Administrator) Ext. 6879
Department of Statistics, Columbia House
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