Seminar za računarstvo i primenjenu matematiku, 10. septembar 2013.

Naredni sastanak Seminara biće održan u utorak, 10. septembra 2013. u 14:15, soba 301f, Matematičkog instituta SANU.

Predavač: Petar Jevtić, University of Torino, Italy

Naslov predavanja: TWO EXAMPLE APPLICATIONS OF THE DIFFERENTIAL EVOLUTION ALGORITHM IN FINANCE AND INSURANCE

Sadržaj: The first example pertains to the field of life insurance, specifically the modeling of mortality risk. A cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time factor approach will be presented. The model is implemented on UK data for the period 1900-2008 and calibration by means of stochastic search and the Differential Evolution optimization algorithm proves to yield robust and stable parameters. The second example pertains to the investment finance domain, specifically exotic options. A new dimension of calibration risk, given by the estimation error in model parameters, in the context of exotic option pricing, is investigated. Looking at two popular option pricing models and various calibration settings such as error functionals, dataset features, and optimization routines (local and global), we analyze the impact of estimation risk on exotic option prices, by computing confidence intervals via non-parametric bootstrap re-sampling.


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