Mar
28
Old results and new tools for credit risk: A dynamic copula approach
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
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Feb
26
Financial data and the hidden semimartingale model
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Oct
23
Consistent Calibration of CDO Tranches with the Generalized-PoissonLoss dynamical model
Speaker Damiano Brigo Banca IMI and Bocconi University http://www.damianobrigo.it Description We consider a dynamical model for the loss distribution of a pool of names. The model is based on the...
Sep
19
Stochastic Analysis in Infinitely Dimensional Spaces and quasi-invariance of Wiener measures
Description We will use the quasi-invariance problem of Wiener measures as an example to explain the special difficulties of analysis in infinite dimensional spaces that are not present in finite...