Event
Dr. F. Godin, Concordia University
Friday, December 2, 2016 12:00
LB 921-4, SGW, Library Building Concordia, 1400 de Maisonneuve West, Montreal, QC, H3G 1M8, CA
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S茅minaire Departmental Research Seminar
Dynamic risk management
Dr. F. Godin, Concordia University
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.