School Seminars and Colloquia

Modelling and Pricing of Large Portfolio Credit Derivatives

Stochastic Processes and Financial Mathematics

by Ben Hambly

Institution: Oxford
Date: Thu 26th November 2009
Time: 3:15 PM
Location: Russell Love Theatre, Richard Berry Building, The University of Melbourne

Abstract: The current financial crisis has been in part precipitated by the 
growth of complex credit derivatives and the use of over simplistic models for their pricing. We will develop an alternative view of large basket credit derivatives, as functions of a stochastic partial differential equation, which addresses some of the shortcomings.

For More Information: contact: Prof Daniel Dufresne. email or Dr Aihua Xia on email