Thursday, January 21, 2010

Optimal growth, interest rate, and PRMIA roundtable

Eckhard Platen concluded his mini-course on the benchmark approach today, followed by a talk in the Quantitative Finance Seminar Series highlighting its applications to long dated insurance contracts. Because the optimal growth portfolio plays an essential role in the the benchmark approach, I showed Eckhard this paper by Paul Samuelson. The paper is deliciously written entirely with words of one syllable, but by dismissing the use of the log-optimal portfolio, prevented economists from undertaking serious research in this area for almost 20 years. 

Tomas Bjork gave the second third of his mini-course on interest rates in the afternoon, with a detour into more advanced topics such as the Musiela parametrization and finite--dimensional realizations of HJM models. I suspect this was way over the heads of most graduate students, but thoroughly enjoyable.

At the end of the day we had a roundtable on the Incremental Risk Charge in Basel II organized by PRMIA. This was extremely well attended by local practitioners, and despite the fact that I couldn't really appreciate the regularoty nuances that poped up at times, the discussion was very entertaining.

1 comment:

  1. Nevertheless my appreciation for Samuleson's greatness, I am always wondering when I read one of his several papers, why he had so strong disapproval against the growth-optimal approach.