Organizational Meeting
Steve Paris, FSU -- Talk Postponed
Jim Treanor, FSBA -- joint meeting with proseminar in 303 MCH
Wenbo Hu, FSU -- Credit Risk
Benoit Montin, FSU -- An Agent Market Model Using Evolutionary Game Theory
Abstract: Agents participate in a stock market, adopting mixed strategies to maximize their wealth. Replicator dynamics are used as a behavioral rule to model how agents learn and benefit from their experiences. Stochastic equilibria will be theoretically discussed and illustrated through simulations.
Steve Paris, FSU -- The Pension Actuarial Model
Steve Paris, FSU -- The Pension Actuarial Model, II
Wenbo Hu, FSU -- Credit Risk Modeling: the Hazard Process
Abstract: We discuss some valuation formulas involving the Hazard Process, based on an exposition by Rutkowski.
Mack Galloway, FSU -- Maximum Likelihood Theory and Calibration of Stochastic Models
Wenbo Hu, FSU -- The Hazard Process, II
Abstract: More on valuation formulas for defaultable claims and an application.
Mack Galloway, FSU -- Maximum Likelihood Theory and Calibration of Stochastic Models, II
Thanksgiving holiday -- No meeting
Kiseop Lee, University of Louisville -- Hedging Claims with Feedback Jumps in the Price Process
Abstract: A traditional model for financial asset prices is a stochastic differential equation, driven by Brownian motion and Lebesgue measure; that is, a standard diffusion. However, such a model is inappropriate because of heavy tail problems and asymmetric distribution. Building on the pioneering work of R.Frey, we consider models where the price process of a risky asset can have jumps following a specific structure, as well as a diffusion component. Such models create interesting problems, since one can no longer use the theory of complete markets, but instead must rely on alternatives, such as the construction of minimal martingale measures. We show how this can be done and how options can be priced in this framework. We go further, however, and consider the case where the jumps of the price process can depend on the process history; there are sound economic reasons for considering such models, and while they lead to further complications in the analysis, they are nevertheless tractable, as we show.