Andrew Ferraris
Deutsche Bank AG, London
Issues in applying numerical schemes to the valuation of equity derivatives
Abstract: The numerical solution of the PDEs of finance is of central importance to practitioners for the valuation and risk management of equity derivatives. However, even in one-factor problems, generalising beyond the simple Black-Scholes model introduces complications and disallows many of the simplifications presented in the standard finance texts. We will give a brief introduction to equity derivatives and discuss local volatility, dividends and the free boundary (early exercise) conditions of exotic derivatives and, particularly, convertible bonds.
| Zeit: | Freitag, 30. April, 2004, 14.15 (Kaffee/Tee at 15.30) |
| Ort: | FU Berlin, Arnimallee 2-6, Raum 032 im EG |