Videos

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On A Corporate Bond Pricing Model With Credit Rating Migration Risks and Stochastic Interest Rate Thumbnail

On A Corporate Bond Pricing Model With Credit Rating Migration Risks and Stochastic Interest Rate

Presenter
  • Hong-Ming Yin
June 15, 2018
IMA
Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models Thumbnail

Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models

Presenter
  • Duy Nguyen
June 15, 2018
IMA
Optimal Asset Allocation with Stochastic Interest Rates in Regime-Switching Models Thumbnail

Optimal Asset Allocation with Stochastic Interest Rates in Regime-Switching Models

Presenter
  • Ruihua Liu
June 15, 2018
IMA
Valuing Equity-Linked Insurance Products Thumbnail

Valuing Equity-Linked Insurance Products

Presenter
  • Hailiang Yang
June 14, 2018
IMA
Derivatives Pricing in Nonlinear Models Thumbnail

Derivatives Pricing in Nonlinear Models

Presenter
  • Tom Bielecki
June 14, 2018
IMA
Nonlinear Valuation in Theory and Practice Thumbnail

Nonlinear Valuation in Theory and Practice

Presenter
  • Dilip Madan
June 14, 2018
IMA
Large tournament games Thumbnail

Large tournament games

Presenter
  • Jaksa Cvitanic
June 13, 2018
IMA
Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach Thumbnail

Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach

Presenter
  • Huyen Pham
June 13, 2018
IMA
Stopping Behaviors of Naive and Non-Committed Sophisticated Agents Thumbnail

Stopping Behaviors of Naive and Non-Committed Sophisticated Agents

Presenter
  • Xunyu Zhou
June 13, 2018
IMA
Viscosity Solutions to Parabolic Master Equations Thumbnail

Viscosity Solutions to Parabolic Master Equations

Presenter
  • Jianfeng Zhang
June 13, 2018
IMA
Exit problem driven by alpha-stable process and its PDE characterization Thumbnail

Exit problem driven by alpha-stable process and its PDE characterization

Presenter
  • Qingshuo Song
June 12, 2018
IMA
Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach Thumbnail

Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach

Presenter
  • Moustapha Pemy
June 12, 2018
IMA