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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