Sustinere prelegere

Departamenul de Matematici Aplicate din cadrul ASE are deosebita placere de a va invita la sustinerea unei prelegeri stiintifice pe tema:

I. Dinamica Managementului Portofoliilor

de catre Associate Professor Pirvu Traian, Department of Mathematics & Statistics, McMaster University (1280 Main Street West, Hamilton, Ontario, Canada L8S 4K1).

Abstract. In aceasta prezentare se va studia managementul portofoliilor cand rata discountului este variabila in timp. Aceasta va crea inconsistente temporale in sensul ca portofoliile optimale calculate la un moment in timp vor fi suboptimale la un timp viitor. Solutia la aceasta problema este considerarea portofoliilor de echilibru. Acestea vor fi caracterizate de o ecuatie de tip Hamilton Jacobi Bellman (HJB) generalizata.

Prezentarea se tine la adresa: Centrul de calcul (Etaj 4 Cibernetică), Sala 2416, Joi 14 Ianuarie 2016 ora 16:30.

Coordonate autor: doctorat in Matematici Financiare la Carnegie Mellon University (USA) in anul 2005 sub indrumarea Profesorului Steven Shreve si postdoctorat sub indrumarea Profesorului Ivar Ekeland.

II. Dynamics of debt capacity

de catre Assistant Professor Andreea Minca, Department of Operations Research and Information Engineering, Cornell University (Ithaca, NY 14853 607-255 9133).

Abstract. We propose a model that explains the build-up of short term debt when the creditors are strategic and have different beliefs about the prospects of the borrowers' fundamentals. We define a dynamic game among creditors, whose outcome is the short term debt process as a function of the borrower's fundamentals. As common in the literature, this game has multiple Nash equilibria. We give a refinement of the Nash equilibrium concept that leads to a unique equilibrium. For the resulting debt-to-asset process of the borrower we define a notion of stability. Bank runs are predictable: a bank run begins when the debt-to-asset process leaves the stability region and becomes a mean-fleeing sub-martingale with tendency to reach the debt ceiling, which is the point when the borrower becomes illiquid. The debt ceiling and the stability region are computed explicitly. A critical ingredient in our model is the distribution of capital across the beliefs of the creditors and we allow for a wide variety of specifications for this distribution.

Prezentarea se tine la adresa: Centrul de calcul (Etaj 4 Cibernetică), Sala 2416, Joi 14 Ianuarie 2016 ora 16:30.

Coordonate autor: doctorat in Matematici Aplicate la Paris VI Pierre et Marie Curie University (France) in anul 2011 sub indrumarea Profesorului Rama Cont.

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