شنبه 27 مرداد 1397 09:45 تا 10:20
Dr Chris Daykin
سخنرانی افتتاحیه
شنبه 27 مرداد 1397 10:45 تا 11:10
Dr Dimitrios Konstantinides
Ruin Probabilities for a Double Renewal Risk Model with Frequent Premium Arivals
شنبه 27 مرداد 1397 11:10 تا 11:35
دکتر حمید آرین
Predicting Hedge Fund Returns Using a Stepwise Forward-Backward Regression Algorithm
We present a structural credit risk model which considers stochastic correlation between the assets of the companies. The covariance of the assets follows a Wishart process, which is an extension of the CIR model to dimensions greater than one. Wishart process is an affine symmetric positive definite process, a natural extension of the Heston's stochastic volatility model. We give closed form solutions for equity options, marginal probabilities of defaults, and some other major financial derivatives. In the second part of the paper, we estimate the parameters of the model by a evolutionary algorithm. We prove a theorem which guarantees the convergence of the evolutionary algorithm to the set of optimizing parameters.
شنبه 27 مرداد 1397 11:35 تا 12:00
دکتر هیربد آسا
Price index insurances in the agriculture markets