[DissKoll] Reminder DissKoll

[Klemens Katterbauer]

Dear visitors of the DissKoll (Dissertantenkolloquium),

This is a reminder of Thursday's talk of Sühan Altay about "Term
structure of defaultable bonds – an approach with Jacobi Processes".

Abstract: Modeling of credit risk, particularly credit risk associated
with the term structure of defaultable interest rates, is one of the
fundamental research topics in financial mathematics. One general
approach, known as intensity-based setting, for modeling the default
probability of a specific company is to model the default time as a
totally inaccessible stopping time, in the terminology of the general
theory of stochastic process. The main tool in this approach is an
exogenous specification of the conditional probability of default,
given that default has not yet occurred. In most of the cases, this is
done by means of the hazard process of the default time, which is
postulated to have absolutely continuous sample paths with respect to
Lebesgue measure.

In this talk, after an elementary introduction to the valuation of
defaultable bonds in the intensity-based framework by well known no
arbitrage arguments, I will discuss a theoretical problem on the joint
characterization of non-defaultable and defaultable term structures,
namely characterizing the negative instantaneous correlation between
stochastic processes representing short-rate and intensity of the
hazard process. In the second part of my talk, I will discuss possible
solutions to this problem and propose an alternative way to
characterize intensity of the hazard process by using Jacobi
processes. I will also present results, obtained by using spectral
methods, pertaining to zero-coupon bond prices of both defaultable and
non-defaultable bonds in the proposed model. Also certain properties
of Jacobi processes such as their relations to Jacobi polynomials and
squared Bessel processes will be discussed.


Thursday, May 28, 2009, 17:15, Room C 2.09
Coffee and cakes served from 17:00 in the Common Room C 2.06

Program and further information you can find at
http://www.mat.univie.ac.at/~disskoll/

If you are interested in giving a talk, then please contact Klemens
Katterbauer via the below given E-mail address or cell phone number.

To join the mailing list, visit
http://www.mat.univie.ac.at/mailman/listinfo/disskoll

Comments and feedback are welcomed.

We are looking forward to your attendance,

Sühan Altay
Clemens Hanel
Klemens Katterbauer


-- 
Klemens Katterbauer
Student of Mathematics
Tel. No. (+43) 664 7375 4846
homepage: http://members.aon.at/klemensk/

Klemens Katterbauer
Matematik öğrencisi
Tel. numarası: (+43) 664 7375 4846
anasayfa: http://members.aon.at/klemensk/


Klemens Katterbauer
대학생 수학
전화번호: (+43) 664 7375 4846

克林  卡塔尔柏尔-克林-泼辣
学生, 数学和经济学
维也纳大学
首页: http://members.aon.at/klemensk/

Margaritenweg 8
2301 Groß-Enzersdorf, AUSTRIA (奥地利)

电邮地址: katterbauer.klemens at gmail.com
电话号码: (+43) 664 7375 4846