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Graduiertenkolleg Angewandte Algorithmische Mathematik



Graduiertenseminar

A representation theorem and a sensitivity result for functionals of jump diffusions
Vortragender:

Giulia Di Nunno, University of Oslo
Termin: Montag, 11.September 2006, 17:15 Uhr
Ort: 03.10.011
eingeladen von: Prof. Klüppelberg


We present a representation formula for functionals of a jump diffusion. This is obtained by means of some techniques of white noise calculus for Levy processes.
We suggest its application to sensitivity analysis in mathematical finance for the computation of the Greeks.
This is based on a joint work with Bernt Ĝksendal.


Andrea Kampfer (kampfer(at) ma.tum.de)
  September 2006