CAM colloquium - Friday, September 14
3:30 p.m.
655 Rhodes Hall

Speaker: Xin Guo, Operations Research and Information Engineering, Cornell

 

Title: Several mathematical issues in information-based credit risk analysis

 

Abstract:

Credit risk is one of the most active research topics in mathematical finance. In this talk, after a brief review on the three major approaches to study credit risk,
we shall discuss a number of mathematical issues in the information-based approach. We shall show how these issues are resolved by revisiting the
classical filtration expansion results established by Jeulin and Yor in the 1980s. We shall also discuss some new results regarding the impact of filtration expansions on optimal stopping and stochastic control problems.

This talk is based on several papers with A. Chakrabarty, R. Jarrow, and Y. Zeng.

 

Refreshments at 4:30 in 657 Rhodes Hall.