Instituto de Investigación
en Matemáticas

Ateneo
Ateneo

Recursive approaches for the evaluation of financial derivatives

Michèle Breton (GERAD y HEC-Montréal, Québec, Ca)

Fecha: 27/09/2012 17:00
Lugar: Sala de grados. Facultad de Ciencias nueva
Grupo: IMUVA

Abstract:
The evaluation of financial derivatives regularly requires the use of numerical procedures. The talk will present the basic concepts of recursive modeling and show how it is the basis of most numerical methods for pricing and hedging derivatives. Various applications will be presented to illustrate the flexibility and applicability of recursive approaches. The presentation will conclude with a discussion of the relative efficiency of existing procedures.