Fin & math doc seminar

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24 March 2015
12:15-13:00

Dr. Martin Herdegen
ETH Zurich, Switzerland

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Title	Sensitivity of Optimal Consumption Streams
Speaker, Affiliation	Dr. Martin Herdegen, ETH Zurich, Switzerland
Date, Time	24 March 2015, 12:15-13:00
Location	KOL E 18
Abstract	We study the sensitivity of optimal consumption streams with respect to perturbations of the random endowment. We show that to the leading order, any consumption correction for the perturbed endowment is still optimal as long as the budget constraint is binding. More importantly, we also establish the optimal correction at the next-to-leading order. This can be computed in two steps. First, one has to find the optimal correction for a deterministic perturbation. This only involves the risk-tolerance process of the unperturbed problem and yields a "risk-tolerance martingale". If the risk-tolerance process is deterministic, e.g. in the case of a deterministic unperturbed endowment, the latter is a constant. In a second step, one can then calculate the optimal correction for any random perturbation. This is given by an explicit formula containing only the conditional expectation of the terminal cumulative perturbation under an equivalent measure induced by the "risk tolerance martingale", the "risk-tolerance martingale" and the risk-tolerance process itself. This is joint work in progress with Johannes Muhle-Karbe.

Sensitivity of Optimal Consumption Streamsread_more

KOL E 18

14 April 2015
12:15-13:00

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Title T.B.A.read_more

KOL G 212

26 May 2015
12:15-13:00

Felix Stang
UZH

Event Details

Title	A robust fundamental theorem of asset pricing with discrete martingale measures
Speaker, Affiliation	Felix Stang, UZH
Date, Time	26 May 2015, 12:15-13:00
Location	KOL E 18
Abstract	The classical version of the Fundamental Theorem of Asset Pricing requires that zero-sets of the real-world probability measure P are known. We choose a different route and start from a possibly non-dominated set of probability measures P representing uncertainty about the zero-sets of the real-world probability measure. Since the concept of equivalent measures becomes meaningless under such a framework, we use the notion of P-full support, which is a condition on the support of a martingale measure Q. We derive a version of the Fundamental Theorem of Asset Pricing and and that no-arbitrage, in our context, is equivalent to the existence of a discrete martingale measure. This is joint work with Meriton Ibraimi and Markus Leippold

A robust fundamental theorem of asset pricing with discrete martingale measuresread_more

KOL E 18

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Organizers: Martin Herdegen

Archive: SS 15 AS 14 SS 14 AS 13 SS 13 AS 12