Prof. Dr. Christian Bender
Prof. Dr. Henryk Zähle
Stochastics Research Seminar
Thursdays 14:30-16:00 in room 319 (SR 9), building E2 4, or as announcedTalks in the summer semester 2013:
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Friday, 27.09.2013, 10:30:
Dr. Leif Döring (University of Zürich)
Selbstähnliche Markovprozesse und Sprung SDEs
Abstract:
Die Darstellung selbstähnlicher Markovprozesse durch Levy Prozesse geht zurück auf Arbeiten von Lamperti in den 1970ern. In den letzten 10 Jahren wurde das Verhalten dieser Prozesse im Ursprung genauer untersucht. Wir diskutieren eine Sprung SDE Darstellung, mittels derer Fragen über das Verhalten im Ursprung auf schwache Eindeutigkeits Eigenschaften zurückgeführt werden können."
Room 316 (SR 10), building E2.4
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Thursday, 19.09.2013, 14:30:
Dr. Hasanjan Sayit (University of Durham)
Absence of arbitrage in a general framework
Abstract:
Cheridito (Finance Stoch 7:533-553, 2003) studies a financial market that consists of a money market account and a risky asset driven by a fractional Brownian motion. It is shown that arbitrage possibilities in such markets can be excluded by suitably restricting the class of allowable trading strategies. In this talk, we discuss an analogous result in a multi-asset market where the discounted risky asset prices follow more general non-semimartingale models. In our framework, investors are allowed to trade between a risk-free asset and multiple risky assets by following simple trading strategies that require a minimal deterministic waiting time between any two trading dates. We present a condition on the discounted risky asset prices that guarantee absence of arbitrage in this setting. We give examples that satisfy our condition and study its invariance under certain transformations.
Room U.16 (SR 4), building E2.5
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Thursday, 12.09.2013, 14:30:
Dr. Mikko Pakkanen (Aarhus University)
Volatility estimation for ambit fields
Abstract:
Ambit fields are multiparameter stochastic processes, defined as moving averages of volatility-modulated infinitely-divisible random measures. They have been recently applied, for example, to the modeling of turbulent velocity fields and the term structure of electricity forward prices. In my talk, I will discuss how power variations can be used to estimate the realized volatility of a two-parameter ambit field constructed using a Gaussian random measure, a white noise. In particular, I will present limit theorems for power variations of ambit fields driven by white noise under infill asymptotics.
Room U.39 (Zeichensaal), building E2.5
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Thursday, 05.09.2013, 14:30:
Arturo Valdivia (Universitat de Barcelona)
Filtered Lévy processes and applications
Abstract:
The fractional Brownian motion (fBm) can be obtained by integrating a deterministic kernel with respect to a standard Brownian motion. A 'filtered Lévy process' is a generalization of the fBm, obtained by taking different kernel as integrand and a different Lévy process as integrator. Recently, these processes have attracted a lot of attention due to both its theoretical interest and potential use in many applied fields. Consequently, a stochastic calculus with respect to these processes has been developed, obtaining so far many interesting results. In this talk we shall discuss integration with respect to filtered processes, and give expressions for functionals of these integrals. As an application, we shall present a credit risk model in order to price Convertible Contingent Bonds.
Room 319 (SR 9), building E2.4
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Thursday, 25.07.2013, 14:30:
Alexandra Lauer (Saarland University)
Numerische Berechnung des fairen Preises von Flexible Caps im LIBOR-Market Modell durch Simulation
Abstract:
Ich werde zunächst auf die Dynamik der Zinsraten im LIBOR-Market Modell eingehen und den cash-flow Prozess eines Flexible Caps definieren. Danach werde ich in Anlehnung an die Arbeiten von John Schoenmakers, Sven Balder und Antje Mahayni das Problem der Bestimmung optimaler Stoppzeiten und deren numerischer Konstruktion erläutern. Auf dieser Basis lassen sich dann untere Schranken für den Optionspreis aufstellen. Für die Konstruktion der oberen Schranken werde ich dann auf den sog. dualen Ansatz auf Grundlage der Doob-Zerlegung eingehen.
Room 319 (SR 9), building E2.4
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Dienstag, 23.07.2013, 10:30:
Bastian Groß (Universtität Trier)
Calibration of SDE-based Financial Market Models via an Adjoint Technique
Room U.16 (SR 4), building E2.5
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Donnerstag, 18.07.2013, 14:30:
Prof. Denis Belomestny (Universtität Duisburg-Essen)
Pricing American options via multi-level fast approximation methods
Abstract:
We propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American options. Given a sequence of continuation values estimates corresponding to different levels of spatial approximation and time discretization, we propose a multi-level low biased estimate for the price of an American option.
Room 319 (SR 9), building E2.4
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Thursday, 04.07.2013, 14:30:
Martin Hakenesch (Saarland University)
Superhedging in endlichen Märkten
Room 319 (SR 9), building E2.4
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Thursday, 27.06.2013, 14:30:
Philip Oberacker (Saarland University)
An Itô formula for convoluted Lévy processes - The white noise-case
Room 319 (SR 9), building E2.4
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Thursday, 20.06.2013, 14:30:
Dr. Robert Knobloch (Saarland University)
An Itô formula for convoluted Lévy processes - The L^2-case
Room 319 (SR 9), building E2.4
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Thursday, 13.06.2013, 14:30:
Prof. Christian Bender (Saarland University)
A simple proof of the Wick-Itô formula for Gaussian processes
Room 319 (SR 9), building E2.4
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Thursday, 06.06.2013, 14:30:
Sarah Klein (Saarland University)
Tug-of-war model for bidirectional intracellular cargo transport
Room 319 (SR 9), building E2.4
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Wednesday, 27.03.2013:
Jia Zhuo (University of Southern California)
A probabilistic numerical method for high-dimensional fully nonlinear PDEs
Room 203 (SR 7), building E2.4
Last modified on 18 September 2013 by Robert Knobloch.
