[Forum SIS] Seminario MOLCHANOV

[Matteo Ruggiero]

*****************************************************************
CICLO DI SEMINARI - COLLEGIO CARLO ALBERTO
*****************************************************************

Nell'ambito del ciclo di seminari organizzato dalla "de Castro Statistics Initiative" (www.carloalberto.org/stats), 
alle ore 15.00 di Lunedi' 17 Ottobre 2011, presso il Collegio Carlo Alberto, 
via Real Collegio 30, 10024, Moncalieri, Torino,

ILYA MOLCHANOV (University of Bern)

terra' un seminario dal titolo 

SYMMETRIES OF PROBABILITY DISTRIBUTIONS, THEIR GEOMETRIC MEANING AND FINANCIAL APPLICATIONS

Abstract:
The talk starts with the known put-call symmetry property and its application to semi-static hedging of barrier options. Then it is explained how to interpret this property geometrically and extend it in various ways, most importantly for the multivariate (multiasset) case that would correspond to basket and exchange options in financial language. In particular, the symmetry property for the exchange case is a weakening of the famous exchangeability property of random variables.

Joint work with Michael Schmutz (Bern)


Tutti gli interessati sono invitati a partecipare.

---------
Matteo Ruggiero
University of Turin
http://web.econ.unito.it/ruggiero

-------------- parte successiva --------------
Un allegato HTML è stato rimosso...
URL: <http://www.stat.unipg.it/pipermail/sis/attachments/20111011/d9eda3a2/attachment.html>