ETH :: D-MATH :: Nonlinear Expectations and Risk Measures

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ETH Zurich - D-MATH - Education - Bachelor - Student Seminars - Herbstsemester 2008 - Nonlinear Expectations and Risk Measures

Nonlinear Expectations and Risk Measures

Organizer

Dr. Delia Coculescu

Place

HG E 22

Time

Wednesdays 10:15-12:00

First meeting

Wednesday, October 1^st, 2008

Language

English

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.

Literature

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.

Other information

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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