Speaker: Marek Rutkowski, Professor, the Applied Mathematics Research Group, the University of Sydney, Australia

Date: April 19, 2018

Time: 3:30 p.m.-4:30 p.m.

Location: 1238 Lecture Hall, Block B, Zhixin Building, Central Campus

Sponsor: Zhongtai Securities Institute for Financial Studies

Abstract:

We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to agenerality that has not yet been studied previously and reaching valuation when replication is not assumed. This unifying theoretical framework clarifies the relationship between the two valuation approaches: the adjusted cash flows approach of Brigo et al. (2016, 2017) and the classic replication approach of Bielecki et al. (2015, 2017). In particular, results of this work cover most previous papers in which the authors have examined specific replication-based models. This is a joint work with Damiano Brigo, Cristin Buescu, Marco Francischello and AndreaPallavicini.

Bio:

Marek Rutkowski is a member of the Applied Mathematics Research Group, working in the area of Financial Mathematics. Modern Financial Mathematics is based on Stochastic Analysis and is concerned with modelling financial markets, pricing derivatives contracts and understanding risk. These studies directly impact on investment banks, hedge funds and other financial institutions worldwide.

His specific research areas include: exotic options, interest rate derivatives, credit derivatives, stochastic volatility modelling, foreign exchange derivatives, multi-person game options, hedging of financial derivatives under funding costs, counterparty risk, credit value adjustment and problems related to enlargements of filtrations.

For more information, please visit:

http://mathfinance.sdu.edu.cn/teacher/report_doReportContentDeatil.action?reportDto.reportId=87274756-89b6-4b0d-9973-f8d1deeeb954

Edited by: Xing Chenyang, Song Yijun