SMS scnews item created by Anna Aksamit at Tue 31 Aug 2021 1726
Type: Seminar
Modified: Tue 7 Sep 2021 1325
Distribution: World
Expiry: 28 Sep 2021
Calendar1: 15 Sep 2021 1400-1500
CalLoc1: zoom talk
Auth: aksamit@ (aaks9559) in SMS-SAML

Stochastics and Finance: Libo Li -- Random Times and GBSDEs

Dear All, 

You are kindly invited to attend the next Stochastics and Finance seminar.  On Wednesday
September 15 at 2pm Libo Li will give a talk via Zoom.  

Zoom link: 

Speaker: Dr Libo Li (UNSW) 

Title: Random Times and GBSDEs 

Abstract: In this talk, we will discuss two related topics.  The first is the
construction of random time, where we extend using, multiplicative systems to construct
random time with a given survival process.  Secondly, motivated by the arbitrage-free
pricing of European and American style contracts with the counterparty credit risk, we
investigate the well-posedness of BSDE and RBSDE in the progressive enlargement of a
reference filtration with a random time through the method of reduction. 

Please feel free to forward this message to anyone who might be interested in this

Kind regards, 


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