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📣 Colloquia Seminar:

Speaker: Dr. Martin Rainer
Risk Consultant, Germany

Title: Relative pricing: from interest-based discounting to economy-adapted numeraires

Date/Time: 19.04.2022 – 15:30 (GMT+3)

Abstract: The relative pricing method is reviewed under stochastic aspects. Traditional applications are e.g. forward rate simulations and FX quanto adjustments. After looking at some problems of the conventional numeraire, the concept of relative pricing w.r.t. economically key assets will be explained. Considerable advantages of this method over conventional pricing show up in contexts for increasing ecological sustainability e.g. by carbon pricing, or for economic stabilisation of critical resource prices such as agricultural commodities or energy. (Joint work with Dr. S. Aydın based on recent paper
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