"Operator methods and derivative pricing theory" by Claudio Albanese

Event Date: 

Thursday, December 7, 2006 - 3:15pm

Event Date Details: 

Refreshments served at 3:00 PM

Event Location: 

  • South Hall 5607F

Claudio Albanese (Imperial College London, Math Finance)
"Operator methods and derivative pricing theory"

We outline a mathematical framework for derivative pricing theory based on operator methods and give examples of applications to long dated callable swaps, bespoke synthetic CDOs and credit equity hybrid derivatives.