Семинар за рачунарство и примењену математику, 10. септембар 2013.

• 09. Септембар, 2013
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Наредни састанак Семинара биће одржан у уторак, 10. септембра 2013. у 14:15, соба 301ф, Математичког института САНУ.

Предавач: Петар Јевтић, University of Torino, Italy

Наслов предавања: TWO EXAMPLE APPLICATIONS OF THE DIFFERENTIAL EVOLUTION ALGORITHM IN FINANCE AND INSURANCE

Садржај: The first example pertains to the field of life insurance, specifically the modeling of mortality risk. A cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time factor approach will be presented. The model is implemented on UK data for the period 1900-2008 and calibration by means of stochastic search and the Differential Evolution optimization algorithm proves to yield robust and stable parameters. The second example pertains to the investment finance domain, specifically exotic options. A new dimension of calibration risk, given by the estimation error in model parameters, in the context of exotic option pricing, is investigated. Looking at two popular option pricing models and various calibration settings such as error functionals, dataset features, and optimization routines (local and global), we analyze the impact of estimation risk on exotic option prices, by computing confidence intervals via non-parametric bootstrap re-sampling.