{"44581":{"#nid":"44581","#data":{"type":"event","title":"ISyE Guest Lecturer:  Professor Roger J-B Wets","body":[{"value":"\u003Cp\u003E\u003Cstrong\u003EPricing Contingent Claims \u0026amp; Evaluating Market Risk\u003C\/strong\u003E\n\u003C\/p\u003E\n\u003Cp\u003E\u003Cstrong\u003EGUEST LECTURER\u003C\/strong\u003E\u003Cbr \/\u003E\nProfessor Roger J-B Wets\n\u003C\/p\u003E\n\u003Cp\u003E\u003Cstrong\u003EAFFILIATION\u003C\/strong\u003E\u003Cbr \/\u003E\nUniversity of California, Davis\n\u003C\/p\u003E\n\u003Cp\u003E\u003Cstrong\u003EABSTRACT\u003C\/strong\u003E\u003Cbr \/\u003E\nWe consider contingent claims pricing model with continuous distributions, discrete and continuous time. By formulating such problems as stochastic optimization problems and resorting to stochastic optimization and variational convergence techniques, one can obtain constructive procedures in situations that go much beyond the classical Black-Scholes framework. In the process, one derives some important properties such as no-arbitrage and nearly no-arbitrage conditions, equivalent martingale measures, equilibrium equation, etc. Implementation of this strategy requires an, as good as possible, estimate of the price process. A novel estimation approach, that relies on Levy\u0027s characterization of a Wiener process, is suggested and implemented experimentally.\u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":[{"value":"Pricing Contingent Claims \u0026amp; Evaluating Market Risk","format":"limited_html"}],"field_summary_sentence":[{"value":"ISyE Guest Lecturer:  Professor Roger J-B Wets"}],"uid":"27216","created_gmt":"2009-10-12 21:22:56","changed_gmt":"2016-10-08 01:48:27","author":"Ruth Gregory","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2007-01-25T13:00:00-05:00","event_time_end":"2007-01-25T14:00:00-05:00","event_time_end_last":"2007-01-25T14:00:00-05:00","gmt_time_start":"2007-01-25 18:00:00","gmt_time_end":"2007-01-25 19:00:00","gmt_time_end_last":"2007-01-25 19:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[{"id":"6393","name":"ISyE Guest Lecturer"},{"id":"6413","name":"Roger J-B Wets"}],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[{"value":"\u003Cstrong\u003EAlex Shapiro\u003C\/strong\u003E\u003Cbr \/\u003EISyE\u003Cbr \/\u003E\u003Ca href=\u0022mailto:alex.shapiro@isye.gatech.edu\u0022\u003EContact Alex Shapiro\u003C\/a\u003E\u003Cbr \/\u003E\u003Cstrong\u003E404-894-2300\u003C\/strong\u003E","format":"limited_html"}],"email":[],"slides":[],"orientation":[],"userdata":""}}}