EVENTO
Pricing Path-dependent Derivative Securities: A New Approach
Tipo de evento: Defesa de Tese de Doutorado
We propose a new method to pricing path-dependent derivatives either in stock markets or fixed income markets. The idea is to produce a time and value discretization of the stochastic process that represents the underlying in conjunction with a novel way to benefit from the Feynman-Kac formula. Namely, we use the Feynman-Kac formula to obtain risk neutral probabilities and not prices. Our method provides a formula, numerically solved, that deals with continuous time as well as discrete monitoring path-dependent derivatives on diffusions and also Levy processes. It admits parallel computing and avoids "errors over errors". As an exercise, we price a Brazilian Asian type interest rate option, called IDI, discretely (i.e., realistically) updated.
Data Início: 14/02/2019 Hora: 10:00 Data Fim: 14/02/2019 Hora: 13:00
Local: LNCC - Laboratório Nacional de Computação Ciêntifica - Auditorio B
Aluno: Juan Bladimiro Rodriguez Otazú - LNCC -
Orientador: Jack Baczynski - Laboratório Nacional de Computação Científica - LNCC José Valentim Machado Vicente - -
Participante Banca Examinadora: Jack Baczynski - Laboratório Nacional de Computação Científica - LNCC José Santiago Fajardo Barbachan - - Marcos Garcia Todorov - Laboratório Nacional de Computação Científica - LNCC Yuri Saporito - FGV -
Suplente Banca Examinadora: Marcelo Dutra Fragoso - Laboratório Nacional de Computação Científica - LNCC Oswaldo Luiz Valle Costa - Universidade de São Paulo - USP
