Department Banner

Mathematical Finance and Probability Seminars

Sensitivity analysis of long-term cash flows

Tuesday, April 04, 2017 at 11:45am - 12:45pm

Hyungbin Park, Worcester Polytechnic Institute:  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.
Location   Hill 705

Social Media

Contact Us


Mathematical Finance Master's Program

Department of Mathematics, Hill 348
Hill Center for Mathematical Sciences
Rutgers, The State University of New Jersey
110 Frelinghuysen Road
Piscataway, NJ 08854-8019

Email: finmath (at)
Phone: +1.848.445.3920
Fax: +1.732.445.5530