Department of Mathematics

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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