School of Mathematical Sciences

Events on Monday 28 May 2012

The change of probability measure for jump processes

12:10 Mon 28 May 12 :: 5.57 Ingkarni Wardli :: Mr Ahmed Hamada :: University of Adelaide

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In financial derivatives pricing theory, it is very common to change the probability measure from historical measure "real world" into a Risk-Neutral measure as a development of the non arbitrage condition. Girsanov theorem is the most known example of this technique and is used when prices randomness is modelled by Brownian motions. Other genuine candidates for modelling market randomness that have proved efficiency in recent literature are jump process, so how can a change of measure be performed for such processes? This talk will address this question by introducing the non arbitrage condition, discussing Girsanov theorem for diffusion and jump processes and presenting a concrete example.

Congratulations to Thomas Brown, jointly supervised by Ed Green and Ben Binder who won the AMSI/Cambridge University Press Prize for the best talk at the 2013 CSIRO Big Day In, recently held this month. After completion of their summer project, vacation scholars must submit a project report which summarises the project and addresses the nature of the topic, methods of investigation, results found, and benefits of the experience. The scholars then present a 15-minute presentation about their project at the CSIRO Big Day In (BDI). This experience enables students to meet and socialise with their peers, gain experience presenting to their colleagues and supervisors and learn about a range of careers in science by interacting with several CSIRO scientists (including mathematicians) in a discussion panel. This is a very pleasing result for Thomas, Ed and Ben as well as for the School of Mathematical Sciences. Well done Thomas.