Dear all,
On November Tuesday 16 at 17:00, Zachary Feinstein (Stevens Institute of Technology) will give a virtual seminar “in Insubria & Bicocca”, to which you are all invited. Title and abstract below.
Title: Set-Valued Risk Measures as BS$\Delta$Es
Abstract:
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynamic risk measures have been defined and
studied as families of set-valued functionals in the recent literature. There are two possible extensions of scalar backward stochastic differential equations for the set-valued framework: (1) backward stochastic differential inclusions, which evaluate the
risk dynamics on the selectors of acceptable capital allocations; or (2) set-valued backward stochastic differential equations, which evaluate the risk dynamics on the full set of acceptable capital allocations as a singular object. In this talk, we will
investigate the discrete time setting with difference inclusions and difference equations in order to provide insights for such differential representations for set-valued dynamic risk measures in continuous time..
The seminar will be on Zoom. You can find the information to join below.
Topic: Zachary Feinstein - Set-Valued Risk Measures as BS$\Delta$Es
Time: Nov 16, 2021 17:00 PM Rome
Where: Zoom
ID riunione: 929 9067 2101
Passcode: 85asGb
After the talk, you are all invited to remain in the meeting for an informal aperitif and chat.
Please forward to anyone interested.
Kind regards,
Emanuela Rosazza Gianin and Elisa Mastrogiacomo
Elisa Mastrogiacomo
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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