Laboratoire de Mathématiques de Besançon - UMR 6623 CNRS
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16 décembre 2019: 1 événement

  • Planning des séminaires 2019-2020

    Lundi 16 décembre 11:00-12:00 - Yang Lu - Laboratoire CEPN de l'Université Paris 13

    Séminaire PS : Noncausal Affine Processes with Applications to Derivative Pricing

    Résumé : Linear factor models, where the factors are affine processes, play a key role in Finance, since they allow for quasi-closed form expressions of the term structure of risks. We introduce the class of noncausal affine linear factor models by considering factors that are affine in reverse time. These models are especially relevant for pricing sequences of speculative bubbles. We show that they feature much more complicated non affine dynamics in calendar time, while still providing (quasi) closed form term structures and derivative pricing formulas. The framework is illustrated with zero-coupon bond and European call option pricing examples.

    Lieu : Salle 316B - 16 route de gray
    25030 Besançon cedex

    En savoir plus : Planning des séminaires 2019-2020