Department of Mathematics

Nonlinear Expectations and Risk Measures

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Organizer Dr. Delia Coculescu
HG E 22
Wednesdays 10:15-12:00
First meeting
Wednesday, October 1st, 2008
Description The object of this seminar is to study the so-called g-evaluations and g-expectations, defined by solutions of a backward stochastic differential equation with g as its generating function. These provide a dynamic pricing mechanisms of financial derivatives. The well-known Black–Scholes formula is a typical model where the corresponding generating function g of the BSDE is a linear function.
  1. PENG, Shige (2004): Nonlinear Expectations, Nonlinear Evaluations and Risk Measures, in Stochastic Methods in Finance, Lecture Notes in Mathematics, Springer, 165-253.
  2. ARTZNER, P., DELBAEN, F., EBER, J.M. and HEATH, D. (1999): Coherent measures of risk, Math. Finance, 9, 203–228.
  3. N. EL KAROUI, N., S. PENG and M.-C. QUENEZ, (1997): Backward stochastic differential equations in finance, Math. Finance 7, no 1, 1–71.
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Suitable for those students who have followed the course unit 401-3642-00L "Stochastic Processes and Stochastic Analysis" during the spring semester.

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