Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

We import the problems and techniques developed for the local volatility model in equity derivatives to multi-name credit modeling, propose and solve analogous problems. In particular, we will analyze the properties of the local intensity of the aggregate loss process and explore the stochastic evolution of the local intensity surface under the "top-down'' credit modeling framework. The analogy of Dupire's formula, Gyongy's theorem, backward and forward equations will be showed and parametric factor models for the dynamics of the local intensity surface will be discussed. ( Slides)

Speaker: Ming Shi, Rutgers University