|
Organisers |
Prof. Martin Schweizer, Prof. Askhan Nikeghbali |
Place |
ETH-Zentrum, HG G 26.3 |
Time | Wednesday, 08:15-10:00 |
First meeting |
Wednesday, 18.02.2009, 14:15
Registration before the start of term is welcome (see contact). |
First talk |
Wednesday, 11.03.2009, 08:15 |
Language | English |
Contact |
Ashkan Nikeghbali, Martin Schweizer |
Prerequisites |
Good knowledge in probability theory and stochastic processes; mathematical finance is of course useful, but not strictly required. |
Description |
The seminar will focus on some mathematical aspects of credit risk. More specifically, we study hedging approaches for defaultable payoffs within the so-called reduced-form or intensity-based approach to credit risk modelling. |
Literature |
We use the lecture notes on "Hedging of defaultable claims" by T. R. Bielecki, M. Jeanblanc and M. Rutkowski; see Paris-Princeton Lectures on Mathematical Finance 2003, Lecture Notes in Mathematics 1847, Springer (2004), pp. 1-132. |
Additional information and requirement |
- The seminar will be organised in the style of a reading group. Each student is expected to give a talk of 90 minutes, with a short summary of 1-2 pages to be distributed beforehand. - The seminar yields 6 credit points. To obtain these, students should (1) regularly attend the seminar, (2) give a successful talk of 90 minutes, (3) provide in advance a PDF summary of their talk of 1-2 pages. - Depending on the presentation of the talk, additional written supplements may be demanded to judge whether (2) is fulfilled. |
Wichtiger Hinweis:
Diese Website wird in älteren Versionen von Netscape ohne
graphische Elemente dargestellt. Die Funktionalität der
Website ist aber trotzdem gewährleistet. Wenn Sie diese
Website regelmässig benutzen, empfehlen wir Ihnen, auf
Ihrem Computer einen aktuellen Browser zu installieren. Weitere
Informationen finden Sie auf
folgender
Seite.
Important Note:
The content in this site is accessible to any browser or
Internet device, however, some graphics will display correctly
only in the newer versions of Netscape. To get the most out of
our site we suggest you upgrade to a newer browser.
More
information