Vorträge und Posterpräsentationen (ohne Tagungsband-Eintrag):
B. Düring:
"Kinetic models for wealth distribution and parameter identification in option pricing";
Vortrag: Mathematisches Kolloquium, Università degli Studi di Ferrara,
Ferrara, Italien (eingeladen);
08.02.2008.
Kurzfassung deutsch:
s. engl. Abstract
Kurzfassung englisch:
In the first part of the talk, we consider kinetic agent models for wealth distribution in simple economies. Based on `microscopic' interactions these models develop `macroscopic' features in the long-term limit like stationary wealth distributions with Pareto tails that are observed also in empirical data. We report some recent analytical and numerical results on the speed of relaxation towards the stationary state.
In the second part of this talk we consider the problem of identifying local volatility functions from market option prices. Mathematically, the problem can be formulated as a PDE constrained optimal control problem. We propose an algorithm that is based on sequential quadratic programming and present analytical as well as numerical results.
Zugeordnete Projekte:
Projektleitung Ansgar Jüngel:
Numerik und Modellierung nichtlinearer partieller Differentialgleichungen zur Beschreibung von Kredit- und Preisrisiken
Erstellt aus der Publikationsdatenbank der Technischen Universität Wien.