BEGIN:VCALENDAR
PRODID:-//Columba Systems Ltd//NONSGML CPNG/SpringViewer/ICal Output/3.3-
M3//EN
VERSION:2.0
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20191031T115217Z
DTSTART:20191106T140000Z
DTEND:20191106T150000Z
SUMMARY:Lane P. Hughston (Goldsmiths University of London) - Lévy-Ito Mod
els in Finance
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}q39-k2enfpv
t-qz9vfa
DESCRIPTION:We propose a class of financial models in which the prices of
assets are Lévy-Ito processes driven by Brownian motion and a dynamic P
oisson random measure. Each such model consists of a pricing kernel\, a
money market account\, and one or more risky assets. The Poisson random
measure is associated with an n-dimensional Lévy process. We show that t
he excess rate of return of a risky asset in a pure-jump model is given
by an integral of the product of a term representing the riskiness of th
e asset and a term representing the level of market risk aversion. The i
ntegral is over the state space of the Poisson random measure and is tak
en with respect to the Lévy measure associated with the n-dimensional Lé
vy process. The resulting framework is applied to the theory of interest
rates and foreign exchange\, allowing one to construct new models as we
ll as various generalizations of familiar models. \n\nAvailable at: arXi
v:1907.08499. \n\nCo-authors: G. Bouzianis (Goldsmiths)\, S. Jaimungal
(Toronto)\, and L. Sánchez-Betancourt (Oxford).
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:G.209\, Alan Turing Building\, Manchester
END:VEVENT
END:VCALENDAR