IMA Complex Systems Seminar
1:30, Thursday, April 29,
2004
Department of Operations Research &
Financial Engineering
Princeton University
Princeton, NJ 08544-5263
The first half of the talk will review some
of the fundamental problems facing the industry: reliable forward curve
constructors, real options and asset valuation, credit ratings and liquidity
issues. The second part will concentrate
on the mathematics of two very specific problems for which simple models can be
proposed: temperature options and swing options (i.e. options with multiple
exercises of the American type). We will discuss recent results and some of the
remaining challenges.