On September 13, 14, 15, 22 with schedule 10:00-12:00, Cagin Ararat (Bilkent University) will give a virtual short PhD-course for the PhD program in Methods and Models for Economic Decisions (Insubria University). You can find title and abstract below, as well as instructions to attend the course. You are all invited!
Short Online Course, Università degli Studi dell'Insubria September 2021, Varese Set-Valued Stochastic Finance
Lecturer: Çağın Ararat, Bilkent University, Ankara, Turkey Email: cararat@bilkent.edu.trmailto:cararat@bilkent.edu.tr Meeting Times: 10:00-12:00 on September 13, 14, 15, 22 Zoom: https://zoom.us/j/98597190889?pwd=cm1vOVdIeWdMdVZ4UTNkY1Vkb0lvZz09 Meeting ID: 985 9719 0889 Passcode: 341415
Abstract: This short online course is concerned with the fundamentals and some recent developments in the theory of set-valued risk measures. These set-valued functionals are particularly useful in quantifying risk in interconnected financial networks where the entities are subject to correlated sources of randomness, in which case the functionals are called systemic risk measures. After studying set-valued risk measures in static and discrete-time settings, we will observe that the continuous-time case is very much undiscovered, largely due to the challenges in set-valued stochastic analysis. We will conclude the course with a simple form of a set-valued backward stochastic differential equation, which has the potential to be linked to set-valued risk measures in continuous time.
***
Please forward to anyone interested. Kind regards,
Elisa Mastrogiacomo ----------------------------------------- Professore Associato di Metodi matematici dell'economia e delle scienze attuariali e finanziarie
Università degli Studi dell'Insubria Dipartimento di Economia
Via Monte Generoso, 71 – 21100 Varese tel. +39 0332/395528
web: https://www.uninsubria.it/hpp/elisa.mastrogiacomo mail: elisa.mastrogiacomo@uninsubria.itmailto:mario.rossi@uninsubria.it