Location: Faculty Hall
Indian Institute of Science
(Divn. Of Physical & Mathematical Sciences)
Professor Mrinal K. Ghosh
“The pricing of corporate liabilities via options”(poster)
Date : Wednesday, 22nd February 2017
Venue:Faculty Hall, Main Building
Time : 4-00 p.m.
Prof Anurag Kumar, Director
We begin with a brief introduction to Black-Scholes theory of option pricing. We then describe the structural approach to credit risk. We identify the equity and the debt of a firm as appropriate options on the asset of the firm. Using this we derive the price of the debt and the default probability. Finally we develop an EM algorithm to estimate the relevant parameters associated with the asset of the firm.
Tea : 5-00 p.m.