报告标题：The changing theory of valuation

报告时间：2014年3月17日下午16：30

地点：览秀楼105学术报告厅

报告摘要：

The theory of valuation is changing considerably after the beginnings of Bachelier (1900) and Black Scholes (1973). The current practice of including valuation adjustments for previously neglected risks such as Credit, Collateral and Funding Costs is reviewed and criticized, based on our research in the period 2002-2014. In particular, one may consider the inclusion of funding and margining costs for the hedge and collateral processes in a portfolio of trades. In presence of asymmetric borrowing and lending rates such costs lead to valuation equations that are nonlinear in terms of pricing operators. Rather than risk neutral expected values of discounted cash flows one obtains nonlinear mathematical representations such as nonlinear PDEs or Backward SDEs. Another way to look at this is saying that the pricing measure depends on the specific deal being priced and on the conditions under which the deal is traded, leading to a sort of relativity of the pricing measure and to recursive equations. Portfolio valuation becomes aggregation-dependent and the operational implications of the basic financial fact that borrowing and lending happen at different rates are highlighted.

报告人简介：

Professor Damiano Brigo,Chair in Mathematical Finance at Imperial College, London, UK

Professor Damiano Brigo holds the Chair in Mathematical Finance at Imperial College, London, where he co-heads the Mathematical Finance research group. Prof. Brigo has also been appointed as Head of the Capco Global Research Institute in the industry.

Previously, Prof. Brigo held the Gilbart Chair of Financial Mathematics at Kings College, London. Damiano worked as Managing Director and Global Head of Quantitative Innovation in Fitch Solutions in 2007-2010.

 Prior to this Damiano worked as Head of Credit Models in Banca IMI''''''''''''''''''''''''''''''''s front office and as Fixed Income Professor at Bocconi University in Milan.

Damiano has published more than 70 works in Mathematical Finance, Systems Theory, Probability and Statistics, and books for Springer Verlag and Wiley that have become field references in stochastic interest rate and credit risk modeling.Damiano is Managing Editor of the International Journal of Theoretical and Applied Finance, has been a member of the Fitch Academic Advisory Board and is part of Scientific committees for academic conferences occurring at MIT and other international academic and industry institutions.

He is listed as most prolific author in defaultrisk.com and has been listed as the most cited author in Risk Magazine in 2006 and 2010. His H-index in Google Scholar is 25 as of December 2012.