*Tid:* **14 januari 2013 kl 15.15-16.00.**
**Seminarierummet 3721**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7.
Karta!
*Föredragshållare:*
**
Kristoffer Lindensjö, Stockholm School of Economics
**
**Titel:**
Derivative pricing when assets and forward interest rates are driven by jump-diffusions
**Abstract**
We study derivative pricing when stocks and an instantaneous forward rate curve, with a corresponding continuum of bonds, follow jump-diffusions. Given specifications on these processes we derive reasonably explicit formulae for the price and the Greeks of a certain derivative payoff. The derivative payoff may depend on two assets which can be either bonds or stocks. We show that many of the derivative payoffs studied in the literature can be represented as linear combinations of our payoff and hence that we can use our pricing formula to price these derivatives. Examples of such derivatives include the European call, put, min, max, exchange and digital options on either stocks or bonds.
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