Comme l’an passé, les séminaires ont lieu habituellement le mardi sous la responsabilité de Waël Louhichi.
|Intervenant||Carole Bernard University of Waterloo, Canada|
|Titre / title||" All investors are risk averse expected utiliy maximizers "|
|Résumé / Abstract||Assuming that agents’ preferences satisfy first-order stochastic dominance, we show that the Expected Utility Paradigm can explain all rational investment choices. In particular, the optimal investment strategy in any behavioral law-invariant setting corresponds to the optimum for some risk averse expected utility maximizer whose concave utility function we derive explicitly. This result enables us to infer agents’ utility and risk aversion from their investment choice in a non-parametric way. We also show that decreasing absolute risk aversion (DARA) is equivalent to a demand for terminal wealth that has more spread than the opposite of the log pricing kernel at the investment horizon.|
|Intervenant||Souleymane Laminou Abdou - Université de Rennes 1 - IGR/IAE et CREM|
|Titre / title||" Pricing and Hedging American Strangles with Finite Maturity "|
|Co-auteur/co-authored with||Franck Moraux - Université de Rennes 1 - IGR/IAE et CREM|
|Résumé / Abstract||This paper reconsiders the American Strangles pricing of Chiarella and Ziogas (2005). We investigate how the choice of the numerical quadrature significantly affect the global numerical scheme for computing integral equations involved in the pricing of finite-lived American Strangles. For this purpose we provide a novel one-step numerical method and compare both algorithms and present their advantages and inconvenient. We then consider hedging of such contracts. We derive new expressions for hedging parameters (with Kim’s representation) and stress how Greek parameters of American strangles differ from their European equivalents.|
|Keywords||American Strangles, early exercise boundaries, Kim representation, numerical integration, Greek parameters|
Les étudiants de Master 2 peuvent assister aux séminaires.
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