{"id":3202,"date":"2023-09-12T08:45:05","date_gmt":"2023-09-12T15:45:05","guid":{"rendered":"https:\/\/colleges.claremont.edu\/ccms\/?post_type=tribe_events&#038;p=3202"},"modified":"2023-10-03T18:54:12","modified_gmt":"2023-10-04T01:54:12","slug":"applied-math-seminar-dan-pirjol-stevens-institute-of-technology","status":"publish","type":"tribe_events","link":"https:\/\/colleges.claremont.edu\/ccms\/event\/applied-math-seminar-dan-pirjol-stevens-institute-of-technology\/","title":{"rendered":"Applied Math Seminar: Dan Pirjol (Stevens Institute of Technology)"},"content":{"rendered":"<p>Title: The Hartman-Watson distribution: numerical evaluation and applications in mathematical finance<\/p>\n<p>Abstract: The Hartman-Watson distribution appears in several problems of applied probability and financial mathematics. Most notably, it determines the joint distribution of the time-integral of a geometric Brownian motion and its terminal value. A classical result by Yor (1981) expresses it as a one-dimensional integral which is however difficult to evaluate numerically in the region of interest for financial applications. The talk gives an introduction to the HW distribution and presents an asymptotic expansion which can be used for an efficient numerical evaluation. Two applications from mathematical finance are discussed: Asian options pricing in the Black-Scholes model, and option pricing in the log-normal SABR model.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Title: The Hartman-Watson distribution: numerical evaluation and applications in mathematical finance Abstract: The Hartman-Watson distribution appears in several problems of applied probability and financial mathematics. Most notably, it determines the [&hellip;]<\/p>\n","protected":false},"author":222,"featured_media":0,"template":"","meta":{"_acf_changed":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"_tribe_events_status":"","_tribe_events_status_reason":"","_tribe_events_is_hybrid":"","_tribe_events_is_virtual":"","_tribe_events_virtual_video_source":"","_tribe_events_virtual_embed_video":"","_tribe_events_virtual_linked_button_text":"","_tribe_events_virtual_linked_button":"","_tribe_events_virtual_show_embed_at":"","_tribe_events_virtual_show_embed_to":[],"_tribe_events_virtual_show_on_event":"","_tribe_events_virtual_show_on_views":"","_tribe_events_virtual_url":"","footnotes":"","_tec_slr_enabled":"","_tec_slr_layout":""},"tags":[],"tribe_events_cat":[15],"class_list":["post-3202","tribe_events","type-tribe_events","status-publish","hentry","tribe_events_cat-applied-math-seminar","cat_applied-math-seminar"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.2 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Applied Math Seminar: Dan Pirjol (Stevens Institute of Technology) - Claremont Center for the Mathematical Sciences<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/colleges.claremont.edu\/ccms\/?post_type=tribe_events&p=3202\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Applied Math Seminar: Dan Pirjol (Stevens Institute of Technology) - Claremont Center for the Mathematical Sciences\" \/>\n<meta property=\"og:description\" content=\"Title: The Hartman-Watson distribution: numerical evaluation and applications in mathematical finance Abstract: The Hartman-Watson distribution appears in several problems of applied probability and financial mathematics. Most notably, it determines the [&hellip;]\" \/>\n<meta property=\"og:url\" content=\"https:\/\/colleges.claremont.edu\/ccms\/?post_type=tribe_events&amp;p=3202\" \/>\n<meta property=\"og:site_name\" content=\"Claremont Center for the Mathematical Sciences\" \/>\n<meta property=\"article:modified_time\" content=\"2023-10-04T01:54:12+00:00\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/colleges.claremont.edu\/ccms\/?post_type=tribe_events&p=3202\",\"url\":\"https:\/\/colleges.claremont.edu\/ccms\/?post_type=tribe_events&p=3202\",\"name\":\"Applied Math Seminar: Dan Pirjol (Stevens Institute of Technology) - Claremont Center for the Mathematical Sciences\",\"isPartOf\":{\"@id\":\"https:\/\/colleges.claremont.edu\/ccms\/#website\"},\"datePublished\":\"2023-09-12T15:45:05+00:00\",\"dateModified\":\"2023-10-04T01:54:12+00:00\",\"breadcrumb\":{\"@id\":\"https:\/\/colleges.claremont.edu\/ccms\/?post_type=tribe_events&p=3202#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/colleges.claremont.edu\/ccms\/?post_type=tribe_events&p=3202\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/colleges.claremont.edu\/ccms\/?post_type=tribe_events&p=3202#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/colleges.claremont.edu\/ccms\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Events\",\"item\":\"https:\/\/colleges.claremont.edu\/ccms\/events\/\"},{\"@type\":\"ListItem\",\"position\":3,\"name\":\"Applied Math Seminar: Dan Pirjol (Stevens Institute of Technology)\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/colleges.claremont.edu\/ccms\/#website\",\"url\":\"https:\/\/colleges.claremont.edu\/ccms\/\",\"name\":\"Claremont Center for the Mathematical Sciences\",\"description\":\"Proudly Serving the Math Community at the Claremont Colleges Since 2007\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/colleges.claremont.edu\/ccms\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-US\"}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"Applied Math Seminar: Dan Pirjol (Stevens Institute of Technology) - Claremont Center for the Mathematical Sciences","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/colleges.claremont.edu\/ccms\/?post_type=tribe_events&p=3202","og_locale":"en_US","og_type":"article","og_title":"Applied Math Seminar: Dan Pirjol (Stevens Institute of Technology) - Claremont Center for the Mathematical Sciences","og_description":"Title: The Hartman-Watson distribution: numerical evaluation and applications in mathematical finance Abstract: The Hartman-Watson distribution appears in several problems of applied probability and financial mathematics. 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