Newsletter 16. March 2004

Contents

1. "Center of Competence Finance in Zurich" in the Internet Newspaper "ETH Life"
   
   
2. Finance Talks at ETH Zurich.
   Two talks on New developments for exotic options: 22. March 2004
   
   
3. Finance and Insurance Mathematics at the ETH Zurich. Talk: 30. March 2004
   
   
4. Advanced doctoral course offered by the NCCR-FINRISK at the University of Zurich.
   Lectures: 7-8. April 2004 and 3-4. May 2004
   
   
5. Joint Uni/ETH Zurich program "Master of Advanced Studies in Finance".
   Two colloquium talks: 13. April 2004

Details

1. Uni/ETH Center of Competence Finance in Zurich (CCFZ) in newspaper.
   
   A few weeks ago the Internet Newspaper ETH-Life has published an article about the CCFZ and on the joint Uni/ETH Program Master of Advanced Studies in Finance.
   The article can be read following this link.
   
   
2. Finance Talks at the ETH Zurich. Two talks on New developments for exotic options
   
   
   • First Talk
   
   Time: Monday, 22. March 2004, 16.15-17.00
   Venue: ETH Zurich, main building, HG F 26.1
   Speaker: Prof. Nobuhiro Nakamura, Hitotsubashi University, International Corporate Strategy
   Title: Numerical Approach to Asset Pricing Models with Stochastic Differential Utility
   Abstract: In this paper we develop two new numerical schemes of solving the asset pricing models with stochastic differential utility (SDU), which are formulated by either backward stochastic differential equation (BSDE) or forward-backward stochastic differential equation(FBSDE). The first scheme is based upon a traditional lattice algorithm of option pricing theories, involving the discretization scheme of coupled FBSDE, which is combined with a technique of solving numerically a certain type of nonlinear equations with respect to the backward state variables. The second one is a modified four-step scheme of solving the quasi-linear partial differential equation associated with the FBSDE. We demonstrate that our algorithm can successfully solve the asset pricing models with generalized SDU and the large investor problem with market impact which are typical examples such that the usual naive four-step scheme of Ma, Protter and Yong(1994) breaks down. For other applications we study the optimal consumption and investment policies of a representative agent with SDU, and the recoverability of preferences and beliefs from observed consumption data.
   
   
   • Second Talk
   
   Time: Monday, 22. March 2004, 17.15-18.00
   Venue: ETH Zurich, main building, HG F 26.1
   Speaker: Prof. Takahiko Fujita, Hitotsubashi University, Graduate School of Commerce
   Title: Exotic Barrier Options and Related Topics
   Abstract: I give examples of new Exotic Barrier Options like "Edokko Options, Local Time Barrier Options". I calculate the prices of these options in Black Scholes Model and Discrete Time Model. Especially in Discrete Time Model, Preparing Discrete Ito Formula and Discrete Levy formula, I develop Discrete Stochastic Calculus and give an application for pricing exotic derivatives.
   
   
   
3. Finance and Insurance Mathematics at the ETH Zurich. Lunchtime Seminar
   
   Time: Tuesday, March 30, 2004, 12.15 h
   Venue: ETH Zurich, main building, HG G 43
   Speaker: Bojan Basrak, University of Zagreb
   Title: Using copulas for the analysis of linkage in human genetics
   Abstract: Linkage analysis is a statistical method that compares genetic similarity between two individuals to similarity of their physical or psychological traits. Its main goal is to find an approximate location of the genes associated with a specific phenotype. In this talk we deal with quantitative traits, like a person's height or blood pressure. In linkage studies, data typically consist of n pairs of measurements obtained from $n$ pairs of relatives, e.g. nonidentical twins. Moreover, geneticists also measure degree or relatedness between two twins on many different places along their genome using the concept of identity by descent - IBD status. It is now a statistical problem to decide if there is any region on our genome where higher IBD status translates into more dependent phenotypic values. There are various ways geneticists tackle this problem. The commonly used approach assumes that the two measurements are coming from a bivariate normal distribution conditional on the IBD status. To allow traits that are not normally distributed, we advocate the use of copulas and semiparametric models. Finally, we discuss some real-life data, as well as some multiple testing issues that arise in these settings.
   
   
4. Advanced doctoral course
   The NCCR FINRISK and the PhD in Finance program at the University of Zurich are organising the following advanced doctoral course (20 hours):
   Lecturer: Hélyette Geman, Professor of Finance [geman@essec.fr]
   University Paris Dauphine and ESSEC, Paris
   
   Topic: New classes of processes for asset and commodity price modelling new paradigms for pricing and hedging in incomplete markets: from good deals to acceptable risk
   Time:
   • 7. April: 11-13 and 14-17
   • 8. April: 9-12 and 13-15
   • 3. May: 11-13 and 14-17
   • 4. May: 9-12 and 13-15
   
   Venue: University of Zurich, HIM Pavillon A, Hirschengraben bei 66, 8001 Zurich
   
   Course outline: follow this link.
   Registration: by email to Eckart Jäger (before 26.March) Email: jaeger@nccr-finrisk.ch.
   Practitioners: are welcome to attend this course!
   Fee: 1'000 CHF for the whole course
   
   
5. Joint Uni/ETH Zurich program Master of Advanced Studies in Finance,
   Two colloquium talks
   
   
   • First Talk
   
   Time: Tuesday, 13. April 04, 16.15 - 17.00
   Venue: RAK-E-6, University of Zurich, Rämistr. 73
   Speaker: Riccardo Gusso
   Title: "An Application of EM Algorithm to Calibration of Dependent Credit Risk Models", more
   
   
   • Second Talk
   
   Time: Tuesday, 13. April 04, 17.15 - 18.00
   Venue: RAK-E-6, University of Zurich, Rämistr. 73
   Speaker: Anca Antonov
   Title: "Performance of Modern Techniques for Rating Model Design", more

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