报告题目：VALUATIO UNDER CREDIT RISK, MARGINS AND FUNDING:A UNIFYING APPROACH ENCOMPASSING XVA

报告人：MAREK RUTKOWSKI教授（澳大利亚悉尼大学）

报告时间：2018年4月19日 15:30-16:30

报告地点：知新楼B座1238

摘要：We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has not yet been studied previously and reaching valuation when replication is not assumed. This unifying theoretical framework clarifies the relationship between the two valuation approaches: the adjusted cash flows approach of Brigo et al. (2016,2017) and the classic replication approach of Bielecki et al. (2015,2017). In particular, results of this work cover most previous papers in which the authors have examined specific replication-based models. This is a joint work with Damiano Brigo, Cristin Buescu, Marco Francischello and Andrea Pallavicini.

Marek Rutkowski教授简历：Marek Rutkowski教授现为澳大利亚悉尼大学数学与统计学院金融数学讲席教授，是国际著名的数理金融专家。研究领域主要涉及奇异期权、信用衍生品、随机波动模型、风险估值调整、信用风险的建模估值对冲等，取得了一系列国际领先的突出研究成果。目前出版专著3部，其中《Martingale Methods in Financial Modelling》已成为学术界和业界利用现代鞅论研究金融市场的经典著作。Marek Rutkowski教授在Finance and Stochastics, Mathematical Finance, SIAM Journal on Financial Mathematics, the Annals of Applied Probability, Journal of Credit Risk等国际权威期刊发表论文60余篇，长期担任Finance and Stochastics, Mathematical Finance，International Journal of Theoretical and Applied Finance，International Journal of Portfolio Analysis and Management，Probability, Uncertainty and Quantitative Risk等国际权威期刊的编委，在国际学术界有很强的影响力。

邀请人：彭实戈