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

In this talk we start with an overview of the modern theory of portfolios, based on Stochastic Analysis. We introduce the notion of relative arbitrage and provide simple, easy-to-test criteria ...

Fast and accurate valuation of mortgage-backed securities has been an ongoing challenge for quants over the past 30 years. Almost all current models are empirical models fitted to past history ...

In his recent paper, Paolo Guasoni introduced the notion of sticky processes and showed that stickiness implies absence of arbitrage in a market with friction. This work investigates the sticky ...

Due to the discontinuous payoff of barrier options, finite difference methods typically lead to large error for the price function and spatial derivatives near expiry date and the barrier. Furthermore ...

The calibration of pricing models for portfolio credit derivatives such as CDOs involves the construction of a jump process, representing the portfolio loss, which is compatible with a set of ...

An equity market admits relative arbitrage if there exist two portfolios of equal initial value, one of which is guaranteed not to underperform the other at some specified time, while ...

Consider a particle in a finite dimensional Euclidean space performing a Brownian motion with an instantaneous drift vector at every time point determined by the order in which the coordinates ...

A Master's Degree in Mathematics with Option in Mathematical Finance can lead to exciting career opportunities in the financial industry for Rutgers students considering majors or minors in mathematics, statistics ...

Gyongy has shown that it is possible to construct a diffusion process with the same one-dimensional marginal distributions as a given initial Ito process. This is closely related to work ...

This paper develops a novel class of hybrid credit-equity models with state-dependent jumps, local-stochastic volatility and default intensity based on time changes of Markov processes with killing. We model the ...

Long dated derivatives require a flexible modelling framework. The econometrics challenge is to embed historical and cross-sectional estimations into derivative calibration. The engineering challenge is to structure a model agnostic ...

Over the last two years, we have seen increased trading in both options on VIX and options on variance swaps. Also, there has been increased interest in modeling volatility with ...

1. realistic modeling of the firms' default times and the correlation between them; and
2. efficient computational methods for computing the ...

Jouini et al. (Finance & Stochastics 8, 2004) proposed the concept of set–valued coherent risk measures in order to incorporate market frictions like transaction costs, liquidity bounds etc. in the ...

Wolfgang Doeblin was a mathematician/soldier/telegraphist who served at the front during World War II. Doeblin, one of the great probabilists of the 20th century, was already widely known in the ...

ABSTRACT
We will review the products traded in the weather , energy, and agro derivatives markets, review current market conditions, pricing/modeling techniques and trading strategies and touch on the growing ...

This work presents a way to select macroeconomic factors important for the returns of individual assets from the financial data available. The factors selected are statistical, found using an unsupervised ...

The currency option markets are replete with conventions that strongly affect the way in which models are used to price these options. This is rarely discussed in texts. We will ...

We will introduce some fundamental credit-linked financial instruments, such as Credit Default Swaps (CDS) and Collaterized Debt Obligations (CDO). These products have received an enormous amount of attention in recent ...

We present two new stochastic-volatility models in which option prices for European plain vanilla options have closed- expressions. The models are motivated by the wellknown SABR model but use modified ...