Seminar tomorrow Monday Oct 6, 3:10pm-4:00pm

[Benjamin Landon]

Hi all,

We have a seminar tomorrow, Monday Oct 6  at 3:10-4:00 in Fields 210

Speaker: Dante Mata Lopez (Université du Quebec a Montreal)

Title:  Optimal time to sell a stock in the presence of default and volatility risks

Abstract: We consider a small investor who holds a stock that is subject to default risk and seeks to identify the optimal time to sell the stock in the sense of minimizing the "prophet's drawdown". This problem is phrased as an optimal stopping problem which we can solve explicitly in the case where the stock price is modelled by an exponential spectrally negative Levy process. This is joint work with Aleksandar Mijatovic (U. Warwick).