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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