Nell'ambito del Corso di Laurea Magistrale in Finance and Risk Management (FiRM) dell'Università di Firenze

i Proff Klaus SCHREDELSEKER (University of Innsbruck) e Eckhard PLATEN (University of Technology, Sydney)

terranno i seguenti seminari presso il Dipartimento di Scienze per l'Economia e l'Impresa Edificio D6, via delle Pandette, 32, Firenze

Tutti gli interessati sono invitati a partecipare

Gli abstract degli interventi sono riportati in basso.

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Prof Klaus SCHREDELSEKER

Martedì 5 Maggio, 14.00-16.00, aula D6/007 ''Financial Analysis and Efficient Markets ''

Mercoledì 6 Maggio, 12.00-13.30 e 14.30-16.00, aula D6/102 "Information Economics applied to Financial Markets "

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Prof Eckhard PLATEN

Giovedì 7 Maggio, 10.00-12.00, aula D6/105 ''Numerical Solutions of Stochastic Differential Equations with Jumps in Finance ''

Venerdì 8 Maggio, 10.00-12.00, aula D6/013 "A Benchmark Approach to Finance "

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Abstract.

''Financial Analysis and Efficient Markets '' (Schredelseker) Financial Analysis is the basic of any type of financial reasoning (portfolio theory, capital market theory, derivatives). How it has to be done depends primarily upon the properties of the market: If it is assumed to be informationally efficient, financial analysis is redundant, but if this is the case, the market cannot be efficient. If, however, the market is assumed to be somewhat inefficient, there will be systematic winners and losers: Being a complex adaptive system, the financial market will exhibit nonlinearities in information.

"Information Economics applied to Financial Markets " (Schredelseker) In natural sciences the value of information is always bound from zero: it can never be negative. This does not hold in multiperson-settings like a financial market: Getting better informed may result in a better or in a lower decision quality! A highly skilled and experienced financial analyst is assumed to expect a lower performance in the market as a lousy analyst. Methodology: Game theory, Agent-based modelling, Simulations, Genetic programming.

''Numerical Solutions of Stochastic Differential Equations with Jumps in Finance '' (Platen) In financial and actuarial modelling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Brownian motions. The aim of this lecture is to present various numerical methods used in quantitative finance for models involving stochastic differential equations with jumps. It emphasises mathematical concepts, techniques and intuition crucial for modern numerical methods in derivative pricing and risk management. Questions of numerical stability and convergence will be discussed. Several recent results will be presented on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector and extrapolation methods.

"A Benchmark Approach to Finance " (Platen) This lecture introduces into the benchmark approach, which provides a generalized framework for financial market modelling. It allows for a unified treatment of derivative pricing, portfolio optimization and risk management. It extends beyond the classical asset pricing theories, with significant differences emerging for extreme maturity contracts and risk measures relevant to pensions and insurance. The Law of the Minimal Price will be presented for derivative pricing. A Naïve Diversification Theorem allows forming a proxy for the numeraire portfolio. The richer modelling framework of the benchmark approach leads to the derivation of tractable, realistic models under the real world probability measure. It will be explained how the approach differs from the classical risk neutral approach. Examples on long term and extreme maturity derivatives demonstrate the important fact that a range of contracts can be less expensively priced and hedged than suggested by classical theory.

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