Seminar: Risk Issues
Date and Time
- Fri 10:15 to 11:45 (Room B 251).
In this seminar we discuss a sequence of special topics that have been of relevance to practicioners in financial industrie over the past year.
A incomplete list of the topics is the following:
- The effect of liquitity risk in the pricing of zero bonds
- Pricing and hedging basket credit derivatives in the Gaussian copula
- Asymptotic expansion of stochastic volatility models
- Dynamic modeling of correlations in the presence of crises
- Fast Greek computation in Monte Carlo simulations
- Pricing of options in the presence of short selling constraints
The seminar is based on publications in RISK magazine and will be handed out to you. The objective of the seminar is to work through the mathematical details of the above models as well as to get some exposure to topics that are of relevance in practice.