[Sem-coll] AM Seminar April 25 [Luca Vidozzi]

George Skontos skougeo at iit.edu
Thu Apr 19 23:49:48 CDT 2007


Hello all. This is an update for Prof. Tomasz R. Bielecki's talk on
April 25, 2007. Due to NSF related work Luca Vidozzi will be presenting
on Prof. Bielecki's behalf.

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Wednesday, April 25 4:40pm E1 242
Speaker: Luca Vidozzi
Title: Markov Copulae and applications in finance

Markov copulae (MCO) provide a tool to construct a multivariate Markov
process whose components (margins) are prescribed Markov processes. In
this talk, first some theoretical result regarding Markov copulae will
be presented. Then, an application of MCO to valuation and hedging of
credit index derivatives will be given, and it will be illustrated by
nice calibration results. This is a joint work with Tomasz Bielecki and
Andrea Vidozzi.  



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