Acceptability Indices and g-Expectation
Systemic Risk
Description
Tao Chen
Title: Acceptability Indices and g-Expectation
Mr. Tao Chen will continue investigating the properties of dynamic acceptability indices induced by g-expectation.
Yu-Sin Chang
Title: Systemic Risk
Ms. Yu-Sin Chang will present Lipton and Savescu’s paper: Pricing Credit Default Swaps with Bilateral Value Adjustments.
Mariusz Neieweglowski
Title: Markov Copula
Dr. Nieweglowski will talk about dependence between components of multivariate Markov processes.
Sixiang Li
Title: Vol Swap Pricing
Mr. Sixiang Li will continue his talk on pricing of volatility swap
Event Topic
Mathematical Finance, Stochastic Analysis, and Machine Learning