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2018-11-26 18:00:00
2024-12-23 18:11:05
ПРЕОБРАЗОВАНИЕ ЭШЕРА И ДИСКОНТИРОВАНИЕ
Description
Белый зал (430)
Факультет экономики
info@eusp.org
Europe/Moscow
public
Дата:
26.11.2018
Время:
18:00
Зал:
Белый зал (430)
Организатор:
Факультет экономики
Спикер:
Борис Лифшиц
The chief field of Fredrik Esscher's activity was Life Insurance. Esscher's name is associated with his method for the approximation of a distribution function.
The Esscher transform can be extended to a certain class of stochastic processes, which includes some of those commonly used to model stock-price movements.
The chosen modified probability is an equivalent measure, with respect to which the prices of securities are expected discounted payouts.
