from August 22, 2011 to September 3, 2011 (Europe/Ljubljana)
Europe/Ljubljana timezone
Dilip B. Madan: Financial modelling with jumps

The lectures will introduce Lévy and Sato Processes as models for option surfaces followed by a study of modeling dependence using Lévy processes. This will be followed by an introduction to Conic finance and two price economies with applications to identifying capital requirements, determining the value of the taxpayer put option and introducing the new hedging criterion of capital minimization. The procedures will be illustrated in both static and dynamic hedging contexts.

>> Abstract in pdf format

Slides from lectures

>> Indices of acceptability as performance measures

>> Two price economies

>> Capital requirements and the taxpayer put

>> Debt valuation adjustments

>> Joint risk neutral laws and hedging

>> Levy processes applied in finance

>> Capital minimization as a hedging objective

>> Non-Gaussian dependence using Lévy processes

>> Sato processes in finance

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