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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

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

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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

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