On weak existence and pathwise uniqueness of skew reflected Squared Bessel and CIR processes and some applications to finance
Event details
| Date | 02.05.2012 |
| Hour | 10:15 › 11:15 |
| Speaker | Gerald Trutnau |
| Location | |
| Category | Conferences - Seminars |
We show weak existence and pathwise uniqueness of squared Bessel and CIR processes that are perturbed by a constant multiple of their local times on a time dependent curve. The results are based on published work of Trutnau and Russo in SPA (2010, 2011), and JFA (2005). Additionally, we shall discuss special cases of the skew reflected squared Bessel process and some applications to weighted Asian options and perpetuities due to Decamps, Goovaerts, and Shoutens (Journal of Computational and Applied Mathematics 186 (2006) 130–147).
Practical information
- General public
- Free
Organizer
- CIB
Contact
- Isabelle Derivaz-Rabii