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Mathematical Finance and Probability Seminars

"Sensitivity analysis of long-term cash flows"

Location: 
Date & time: Tuesday, 04 April 2017 at 11:45AM -

 

Hyungbin Park, Worcester Polytechnic Institute

"Sensitivity analysis of long-term cash flows"

Time: 11:45 AM
Location: Hill 705
Abstract: This talk discusses a sensitivity analysis of long-term cash flows, which is given as a pricing operator of a Markov diffusion. We study how much the cash flows is vulnerable to small perturbations of the underlying Markov diffusion. The main tool is the Hansen-Scheinkman decomposition, which is a technique expressing the cash flow by the eigenvalue and eigenfunction of the pricing operator. By combining the results of Fournie et al., we conclude that the sensitivities of long-term cash flows can be represented in simple forms of the eigenvalue and the eigenfunction.

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Department of Mathematics

Department of Mathematics
Rutgers University
Hill Center - Busch Campus
110 Frelinghuysen Road
Piscataway, NJ 08854-8019, USA

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