Seminario Prof.ssa Di Nunno

[Laura Sangalli <laura@dimat.unipv.it>]

UNIVERSITA' DEGLI STUDI DI PAVIA
DIPARTIMENTO DI MATEMATICA "F.CASORATI"
Via Ferrata 1, Pavia
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Lunedì 7 giugno a Pavia, nell'aula C12 del Dipartimento di Matematica
"F.Casorati", 
alle ore 16:00, la

 
                Prof.ssa Giulia Di Nunno
                  (Università di Oslo)


terra' la conferenza:

  "Optimal portfolio problems in a market driven by Levy processes"



Tutti gli interessati sono cordialmente invitati a partecipare.


ABSTRACT:
In any market model a honest trader has access at most to the flow of
information represented by the given filtration, we say that he has "full
information" of the market events. More often the dealer only has
knowledge of a smaller range of information, namely he only has "partial
information" of the events.
On the other hand an insider has access to wider
information which is represented by a filtration strictly larger than the
largest any honest trader may have. In this case we talk about "insider
information".
For a market driven by Levy processes we take different optimal
portfolio problems into accout for the three situations above.
We set our problems in the framework of stochastic calculus and we
exploit concepts of non-anticipating and anticipating stochastic
differentiation with respect to Levy processes.



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