概要
日時：2017年2月2日(木) 16:00-18:00
場所：3号館1階 130室(経営学系会議室)
16:00-17:00
講演者：石谷謙介氏(首都大学東京)
タイトル：Computation of Greeks for barrier options using chain rule for Wiener path integral
【abstract】We present a new methodology to compute Greeks for barrier options under the framework of path-dependent payoff functions with European, Lookback, or Asian type and with time-dependent trigger levels. In particular, we develop chain rule for Wiener path integral between two curves that arise in the computation of Greeks for barrier options. We also illustrate the effectiveness of our method through numerical examples.
17:00-18:00
講演者：松岡多利思氏（首都大学東京）
タイトル：Financial contagion in a two-country model
【abstract】This paper studies a two-country version of the standard banking model with financial markets to investigate the effects of financial market globalization on financial stability. In autarky, two types of banks arise endogenously: some always remain solvent and others can default. When the financial markets are integrated, three types of banks can arise endogenously, and some banks go bankrupt because of the liquidity shock of an other country. I show that financial market globalization can cause financial contagion and reduce welfare. In addition, endogenous inequality across countries can be observed: the financial system of one country is more fragile than that of the other country.