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Probability and Computational Finance Seminar
Kasper Larsen Carnegie Melllon University Title: An expansion in the model space in the context of utility maximization Abstract: In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale, an explicit first-order expansion formula for the power investor's value function - seen as a function of the underlying market price of risk process - is provided and its second-order error is quantified. Two specific calibrated numerical examples illustrating the accuracy of the method are also given.Joint work with Oleksii Mostovyi and Gordan Zitkovic. Date: Monday, November 3, 2014 Time: 5:00 pm Location: Porter Hall 226C Submitted by: Kasper Larsen |