Dear all,
you are all invited to participate to the following seminar on *Wednesday
8th of January 2025 at 16:00* in Aula Seminari Demografica 2062 at
University of Milano Bicocca (via degli Arcimboldi 8, Milano - building U7,
2nd floor):
Speaker: *Giulia Di Nunno* (University of Oslo)
Titolo: Utility maximisation and change of variable formulas for
time-changed dynamics
Abstract:
We target the problem of expected utility maximisation of the terminal
wealth in a semimartingale setting, where the semimartingale is written in
terms of a time-changed Brownian motion and a finite variation process. As
for the time-change we consider a general increasing stochastic process
with finitely many jumps.
To tackle this problem we present change of variable formulas for
stochastic integrals w.r.t. the time-changed Brownian motion and we use
techniques of enlargement of filtrations. The focus is on power and
logarithmic utility.
The presentation is based on joint work with Hannes Haferkorn
(Commerzbank), Asma Khedher (U. Amsterdam), and Michèle Vanmaele (U. Ghent).
Best wishes,
Emanuela
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Emanuela Rosazza Gianin
Dipartimento di Statistica e Metodi Quantitativi
Università di Milano-Bicocca
e-mail: emanuela.rosazza1(a)unimib.it
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