[grads] [Sem-coll] AM Dept Seminars & Colloquium 11/26

[Joe Millham]

Greetings all:
Please join us for the Applied Math Department's Seminar and Colloquium on
Nov. 26, 2007.  Graduate students are encouraged to attend all department
talks, and refreshments will be served.

Stochastics & Computation Seminar 
Hongjun Gao, Nanjing Normal University, China
Monday, Nov. 26 12:45 E1 Room 129
Title:  Exponential Stability for a Hyperbolic Thermoelastic Contact Problem


AM Dept. Colloquium
Jacek Jakubowski, University of Warsaw, Poland
Monday, Nov. 26 4:40 pm E1 Room 106
Title: Pricing of defaultable bonds in the model with rating migreation
induced by Cox process.
Abstract: 
In the talk, I present different properties of rating migration process C
given by Cox process. Among others I derive some useful conditional
expecttions of a F-predicatble bounded stochastic process Zt taking at
default time τ, i.e. Zτ, given pre-default state Cτ -  and t≤τ≤ u
under Ft V Ftc.
Applications of these results to problem of pricing defaultable bonds with
fractional recovery of par value with rating migration and to problem of
pricing credit default swaps will be considered.

A complete list of the AM Dept Seminars and Colloquia can be found at:
http://www.math.iit.edu/academics/sem_coll.html


Happy Thanksgiving!

 
Joe Millham
Administrative Assistant
Applied Mathematics Department
312.567.8984
jmillham at iit.edu 



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