Mathematical Sciences - Stochastic Commons Talk - "Convergence rate of large-time Greeks" by Hyungbin Park (Seoul National University)

Tuesday, February 19, 2019
4:00 pm to 5:00 pm

Location:

Floor/Room #: 
308

Stochastic Commons talk

Hyungbin Park on 02/19, 4-5pm in SH 308.

Speaker: Hyungbin Park (Seoul National University)

Title: Convergence rate of  large-time Greeks

Abstract: This talk discusses a sensitivity analysis of long-term cash flows.  Bond prices and optimal expected utility are expressed by using a pricing operator of a Markov diffusion process. We study the extent to which the price of the cash flow is affected by small perturbations of the underlying Markov diffusion. The main idea is a PDE representation of the cash flow by incorporating the Hansen--Scheinkman decomposition technique. The sensitivities of long-term cash flows and their convergence rates can be represented via simple expressions in terms of eigenvalues and eigenfunction of the pricing operator, moreover compared to the work by Park (Finance Stoch. 4:773-825, 2018),  higher-order convergence rates are provided. As examples, explicit results for several market models such as the CIR model, the 3/2 model and the CEV model are presented.