Date & time
Friday, December 2, 2016
12 p.m. – 2 p.m.
12 p.m. – 2 p.m.
Workshops & seminars
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Mathematics & statistics research seminar
Dynamic Risk Management
Cost
This event is free
Organization
Contact
Where
J.W. McConnell Building
1400 De Maisonneuve W.
Room LB 921-4
Wheel chair accessible
Yes
Pizza and soft drinks will be served after the talk.
SPEAKER: Dr. Frédéric Godin
ABSTRACT: The application of mathematics to a financial risk management problem is illustrated. The case of a financial institution hedging a stock option payoff with a stocks portfolio is considered. Notions of sequential decision problems and dynamic programming are discussed. The Bellman equation is used to optimize the hedge.