Tid: 7 oktober 2002 kl 1515-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Fredrik Armerin, Matematisk statistik, KTH.
Titel: On cash flow valuation.
Sammanfattning: When facing a stream of cash flows occurring at different times, we discount each of the cash flows using suitable discount rates and then sum the contributions. This sum of discounted cash flows defines the value today of this stream. In this talk dynamic properties of the value process are discussed. We consider both discrete and continuous time models. Applications include topics from finance, economics, life insurance, and real options.