Acceptability Indices via g-Expectation

Mr. Tao Chen will report on the paper by Rosazza Gianin and Sgarra: Acceptability indexes via g-expectations: an application to liquidity risk. After recalling the work done by Cherny and Madan on coherent AIs and the ”new” bid and ask prices defined through conic finance, Tao will show two important results of the paper: extension of static coherent AIs to more general quasi-concave ones and proof of duality between static quasi-concave AIs and risk measures; formulation of both static and dynamic AIs through g-expectations, properties of such AIs according to assumptions on g-functions. Furthermore, Tao will talk about the application of AIs induced by g-Expectation to illiquid markets.

Event Topic

Mathematical Finance, Stochastic Analysis, and Machine Learning