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: https://uni-sydney.zoom.us/j/87491585109 

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.  

https://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html 

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

Kind regards, 

Anna