Speaker: 

Delia Coculescu

Institution: 

Univsitat Zurich

Time: 

Wednesday, May 29, 2013 - 2:00pm to 3:00pm

Host: 

Location: 

RH 440R

In this talk we aim at emphasizing the role of information in financial markets (public information versus insider information). In particular, if the information about a particular event (as for instance the default event of a company) is incorporated into a pricing model, then by a change of the underlying filtration, one can compute risk premiums attached to particular events. We also show that modeling of the information leads eventually to modeling of dependencies.