<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta content="text/html; charset=UTF-8" http-equiv="Content-Type">
</head>
<body bgcolor="#ffffff" text="#000000">
Sehr geehrte Fakultätsmitglieder,<br>
<br>
anbei ein Nachtrag der Vortragsankündigungen für die nächste Woche.<br>
<br>
Dienstag, 17. August 2010, von 16:00 Uhr – 17:00 Uhr, Seminarraum D
103, UZA 4<br>
<font color="#3333ff">Finanzmathematik<br>
Vortrag</font><br>
Richard Vierthauer (Christian-Albrechts-Universität zu Kiel):
"Exponential Utility Maximization and the Minimal Entropy Martingale
Measure in Affine Stochastic Volatility Models"<br>
<br>
Abstract:<br>
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. <br>
<br>
Mit freundlichen Grüßen<br>
<br>
Danijela Radosavljevic<br>
<br>
Sekretariat<br>
Institut für Mathematik<br>
Universität Wien<br>
Nordbergstr. 15, UZA 4<br>
Tel: 43 1 4277 50629<br>
Fax: 43 1 4277 9506<br>
<br>
<br>
<br>
<br>
<br>
<br>
<br>
</body>
</html>