Tid: 5 mars 2007 kl 16.15-17.00
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Pierrick Vacher
Titel: Pricing Adjustments for Exotic Product. (Examensarbete)
Sammanfattning: Exotic options are derivatives which have particular features making them more complex than vanilla products, the commonly traded derivatives. As a consequence, pricing this class of derivatives requires advanced and various pricing methods.
The purpose of this thesis is to present some solutions to improve the valuation of exotic products. The approach chosen is to price each product's sensitivity separately with a specific pricing method. After having presented the main pricing adjustments usually used for exotic products, we present some detailed examples of computation. We conclude by giving some rules for practitioners to use these pricing adjustments as risk management tools.