Nonlinear Expectations and Risk Measures
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VVZ for a current information.
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Organizer
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Dr. Delia Coculescu
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Place
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HG E 22
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Time
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Wednesdays 10:15-12:00
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First meeting
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Wednesday, October 1st, 2008
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Language
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English
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Description
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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.
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Literature
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- PENG, Shige (2004): Nonlinear Expectations, Nonlinear Evaluations and Risk Measures, in Stochastic Methods in Finance, Lecture Notes in Mathematics, Springer, 165-253.
- ARTZNER, P., DELBAEN, F., EBER, J.M. and HEATH, D. (1999): Coherent measures of risk, Math. Finance, 9, 203–228.
- 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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Other information
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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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