Sehr geehrte Damen und Herren, Im Rahmen des Seminars "Finanzmathematik" haelt Herr Dr. Philipp Schoenbucher (Universitaet Bonn) einen Vortrag mit dem Titel: "Default Risk in a Libor Market Model" ACHTUNG: AUSNAHMETERMIN DONNERSTAG 17 UHR!!! Zeit: DONNERSTAG, 6. IV 2000, 17 Uhr Ort: Hoersaal 1 Institut fuer Mathematik Strudlhofgasse 4 1090 Wien Der Vortrag findet IN ENGLISCHER SPRACHE statt. Abstract der zugrundeliegenden Arbeit "A Libor Market Model with Default Risk": In this paper a discrete-tenor model for default risk is developed along the lines of the Libor Market Models by Miltersen / Sandmann / Sonder-mann (1997) and Brace / Gatarek / Musiela (1997). The effective forward rates and effective forward credit spreads are modelled as diffusion processes with a lognormal volatility structure, recovery is modelled as a fraction of the par value of the defaulted coupon bond. No-arbitrage dynamics of the forward rates and forward spreads are derived, as well as closed-form solutions for defaultable coupon bonds, default swap rates and asset swap rates, and approximate solutions are given for default swaptions. Furthermore, the implementation of the model is discussed. ---------------------------- Im Rahmen des CCEFM-Programms wird Herr Dr. Schoenbucher auch an der TU vortragen: "A Market Model of Stochastic Volatility" Zeit: Freitag, 7. IV 2000, 15 Uhr 30 Ort: Heinz Zemanek Saal Favoritenstrasse 11, Erdgeschoss 1040 Wien Mit besten Gruessen, Markus Fulmek +---------------------------------------------------------------------------+ Dear Ladies and Gentlemen, Dr. Philipp Schoenbucher (University of Bonn) will give a talk in the "Seminar Finanzmathematik" at the University of Vienna: "Default Risk in a Libor Market Model" ATTENTION: EXCEPTIONAL DATE THURSDAY 17:00!!! Time: THURSDAY, 6. IV 2000, 17:00 Location: Hoersaal 1 Institute of Mathematics Strudlhofgasse 4 1090 Vienna The talk will be IN ENGLISH. ---------------------------- Dr. Schoenbucher will also give a talk at the Technical University: "A Market Model of Stochastic Volatility" Time: Friday, 7. IV 2000, 15:30 Location: Heinz Zemanek Saal Favoritenstrasse 11, ground floor 1040 Vienna Best regards, Markus Fulmek ------------------------------------------------- Wissenschaftlicher Verein Modernes Risk Management WWW: http://keen.esi.ac.at/~amrm/ Institut fuer Mathematik Universitaet Wien Strudlhofgasse 4 A-1090 Wien Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at