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Seminar in mathematical finance: Topics in credit risk
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| 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. |
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