[Vortraege] Nachtrag Vortragsankündigungen der komm. Woche (KW33)

[Danijela Radosavljevic]

Sehr geehrte Fakultätsmitglieder,

anbei ein Nachtrag der Vortragsankündigungen für die nächste Woche.

Dienstag, 17. August 2010, von 16:00 Uhr – 17:00 Uhr, Seminarraum D 103, 
UZA 4
Finanzmathematik
Vortrag
Richard Vierthauer (Christian-Albrechts-Universität zu Kiel): 
"Exponential Utility Maximization and the Minimal Entropy Martingale 
Measure in Affine Stochastic Volatility Models"

Abstract:
We show that the minimal entropy martingale measure (MEMM) exists if the 
dynamics of multivariate assets belongs to a class of affine stochastic 
volatility models characterized by their affine structure and an 
additional structure condition. In this framework we solve the 
corresponding exponential utility maximization problem. As an 
application this leads to explicit formulas in some  stochastic 
volatility models allowing for multivariate volatilities. Since the 
knowledge of the MEMM is a key ingredient for asymptotic exponential 
utility-based pricing and hedging, we use our results in order to 
compute first-order approximations of utility-indifference prices and 
utility-based hedging strategies in affine stochastic volatility models. 
We illustrate our results with a numerical example in the superposition 
model of Barndorff-Nielsen & Shephard.

Mit freundlichen Grüßen

Danijela Radosavljevic

Sekretariat
Institut für Mathematik
Universität Wien
Nordbergstr. 15, UZA 4
Tel: 43 1 4277 50629
Fax: 43 1 4277 9506







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