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Designing and pricing financial instruments to manage climate risk and promote sustainability with Enrique Villamor

This is a past event.

Wednesday, October 25, 2023 at 11:30am to 12:30pm

DM - Deuxieme Maison, 409A
11200 SW 8th ST, Deuxieme Maison, Miami, Florida 33199

Title:  Designing and pricing financial instruments to manage climate risk and promote sustainability   

Abstract:   First, we are going to present an approach to price parametric index insurance using a new PDE method, modeling wind speed with a continuous time Ornstein-Uhlenbeck process. We will find the probability distribution function of the first passage time of this wind process and use it to price the wind parametric insurance premiums using the FKE of the process with a barrier.  Second, we are going to present a model to price Sustainability Linked Bonds with credible and robust KPIs, linking the bond coupons to an issuer’s sustainability performance.

Event Type

Academics, Lectures & conferences

Audience

Students, Faculty & Staff

Tags

Colloquia

Department
Department of Mathematics and Statistics
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