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.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.