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Location: WPI Seminar Room C 714
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Wed, 19. Jun (Opening: 10:00) - Thu, 20. Jun 13
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Topics:
The objective of these lessons is to show that model risk, particularly
financial model risk, is intrinsic to stochastic modelling, and that its
analysis opens new challenging
mathematical and numerical questions.
We will also present recent
results which concern strategies which, issued from the technical
analysis, do not rely on a specific mathematical model and therefore are
robust w.r.t model risk.
Various theories will be used, such as statistics of random processes,
stochastic control, Malliavin calculus, backward stochastic differential
equations, viscosity solutions of nonlinear Partial Differential
equations.
However the course will be self-contained
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Organisation(s)
WPI |
Organiser(s)
Peter Laurence (U. Roma)
René Aid (Electricite' de France)
Fred Benth (U. Oslo)
Valery Kholodnyi (Verbund) |
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Remark: Speaker: Prof. Denis Talay
Registration for this mini-course is free, but
is mandatory.
Please register by sending an email
to laurenceWPI@gmail.com
Please send only one email per registree, i.e. please
do not try and register a second person.
Registration will close when all seats are taken. | |