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.