Sep
5
Acceptability Indices via g-Expectation
Markov Copula Description Tao Chen Title: Acceptability Indices via g-Expectation Mr. Tao Chen will continue presenting what he started this week. Mariusz Neieweglowski Title: Markov Copula Dr...
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Aug
27
Acceptability Indices via g-Expectation
Description 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...
Apr
25
Markov Copulae and applications in finance
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Apr
24
Tsallis Statistics - A New Paradigm In Statistical Mechanics With Applications in Finance
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Apr
16
Two-Level Simulations for Risk Measurement
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Apr
11
About a class of doubly reflected BSDES
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Apr
4
Risk Measures and Nonlinear Expectations
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Mar
28
Old results and new tools for credit risk: A dynamic copula approach
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Feb
26
Financial data and the hidden semimartingale model
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Nov
1
Hedging Variance Options on Continuous Semimartingales
Speaker Roger Lee University of Chicago http://www.math.uchicago.edu/~rl/ Description Variance swaps, which pay the realized variance of [the returns on] an underlying price process, have become a...