EVENTO
Correlated CIR processes and applications in finance and engineering
Tipo de evento: Seminário de Avaliação - Série A
We investigate the square root diffusion process, also named the CIR process. It is a stochastic differential equation which ensures mean reversion of the state variable towards a long run level and avoids the possibility of negative values of the process. These are interesting properties for a number of practical applications, especially when two CIR processes are correlated. We developed analytical approximations to convert the correlated CIR into an affine-diffusion process to find closed-form solutions for the Laplace Transform via Riccati Equations. We apply the final result to three real-world situations: first we model the default probability of emerging market bonds issued in foreign currency, second we price bonds splitting the nominal interest rates as a combination of real interest rates and actual inflation, and lastly we calculate the reliability of an industrial loom subjected to two failure modes.
Data Início: 13/03/2018 Hora: 10:30 Data Fim: 13/03/2018 Hora: 12:00
Local: LNCC - Laboratório Nacional de Computação Ciêntifica - Auditorio B
Aluno: Allan Jonathan da Silva - LNCC/MCTI -
Co-Orientador: José Valentim Machado Vicente - -
Orientador: Jack Baczynski - Laboratório Nacional de Computação Científica - LNCC
Participante Banca Examinadora: Marcelo Dutra Fragoso - Laboratório Nacional de Computação Científica - LNCC Rodrigo Novinski - Instituto Brasileiro de Mercado de Capitais - IBMEC-RJ
Suplente Banca Examinadora: Davi Michel Valladão - PUC-RJ -
