The Center for Applied Statistics and Economics is proud to announce

Nicole el Karoui, CNRS / Ecole Polytechnique

January 24th-25th 2008

The optimal stopping problem revisited

The optimal stopping problem in the trade of American options is probably the oldest optimisation problem in stochastic processes. Motivated by financial applications, new results including closed formulas for Levy processes, Azema-Yor martingales and duality for American options have been obtained during recent years. All solutions are based on the running supremum of some stochastic process. In another way, Reflected Backward Stochastic Differential Equations, stochastic version of variational inequalities, are useful to consider more complex problems and to develop efficient Monte Carlo methods to solve these optimisation problems. Various applications in finance such that portfolio optimisation problem with floor constraints or drawdown constraints will be developed.

Poster (DIN A4)

Impressum | Modified last: 11/07/2013,12:44