Ponente
Dr.
Pablo Olivares
(Toronto Metropolitan University)
Descripción
We discuss problems, models and techniques to evaluate financial contracts based on environmental variables such as temperature and precipitation under a dynamic described by stochastic differential equations with Levy background noises. Closed-form formulas for the price, relying on Fourier inversion and expansions are provided.
Autor primario
Dr.
Enrique Villamor
(Florida Internacional University)
Coautor
Dr.
Pablo Olivares
(Toronto Metropolitan University)
