Si comunica che il giorno 22 luglio 2019 alle ore 14.30 presso l’aula 3014 del Dipartimento di Matematica e Applicazioni, Università di Milano-Bicoca, la Dott.ssa Margherita Zanella dell’Università LUISS Guido Carli di Roma, terrà un seminario dal titolo.

"A Pricing Formula for Delayed Claims:Appreciating the Past to Value the Future”

Abstract:

We consider the valuation of contingent claims with delayed dynamics in a Black & Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how the valuation of future cashflows cannot abstract away from the contribution of the past. As a practical application, we provide an explicit expression for the market value of human capital in a setting with wage rigidity. The talk is based on a joint work with E. Biffis, B. Goldys and C. Prosdocimi.

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