Stochastic Processes in the Financial Mangement of Structured Products
This interactive, two-day course will cover stochastic processes as they are employed in the valuation and risk management of structured products. Beginning with Lévy processes, we proceed via the additive Sato processes through to local volatility, its generalization to locally Lévy processes, spectrally negative processes and an enriched class of stochastic volatility models. The models are then applied by generating paths spaces using a variety of simulation methods to valuing structured products, and the rationale for using a variety of models is carefully developed and explained. [gemäß den Informationen des Anbieters - according to site editor's information] The website is no longer available.
|Event dates:||2007-11-29 – 2007-11-30|
|Conference venue:||New York|
|Classification:||C1 - Econometric and Statistical Methods: General ; G1 - General Financial Markets|
|Event type:||Seminare, Summer Schools, Symposien, Workshops; Seminars, Summer Schools, Symposiums, Workshops|
Persistent link: https://www.econbiz.de/10005874225