On behalf of the Scientific Committee of the de Finetti Risk
Seminars, we are glad to invite you to participate at the following Lecture
ROBUST APPROACH TO MATHEMATICAL FINANCE: OVERVIEW AND
RECENT RESULTS
Jan Obloj
University of Oxford
ABSTRACT
Classical models in
mathematical finance, even if highly complex,
typically share important methodological weaknesses: failure to account for
model uncertainty and
failure to incorporate market information in a consistent
manner. In the wake of financial crisis these have been much debated. An
increasingly
active field of research focuses on robust approach instead. This
approach does not start with a pre-specified probability measure. Instead,
it
starts from market input and then studies how modelling outputs (prices &
hedges) change if/as we add beliefs.
I will start with an
overview of the field. I will discuss the main methodologies
involved and speak about abstract results (no arbitrage, pricing-hedging
duality,
fundamental theorems). Then I will look at how this approach can lead
to practically relevant outputs and discuss incorporating pathwise beliefs. I
will
discuss examples of restrictions on future realised volatility and future option
prices.
Based on joint works with Sergey Nadtochiy
(University of Michigan) and
Zhaoxu Hou and Peter Spoida (University of Oxford).
LOCATION:
The seminar will be held on Wednesday,
September 24, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at
17.30.
Scientific Committee:
Prof. Marco Frittelli (Univ. degli Studi di Milano)
Prof. Fabio Maccheroni (Univ. Bocconi)
Prof.
Massimo Marinacci (Univ. Bocconi)
Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca)
Dott. Simone Cerreia-Voglio (Univ. Bocconi)
Dott.
Marco Maggis (Univ. degli Studi di Milano)
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Emanuela Rosazza Gianin
Dipartimento
di Statistica e Metodi Quantitativi Università di Milano Bicocca
Edificio U7 – 4° Piano
Via Bicocca degli Arcimboldi, 8
20126
Milano
Tel. 02 64483208
Fax. 02 64483105
e-mail: emanuela.rosazza1@unimib.it
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