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Mini-Course: "Model risk in finance"

Location: WPI Seminar Room C 714 Wed, 19. Jun (Opening: 10:00) - Thu, 20. Jun 13
The objective of these lessons is to show that model risk, particularly financial model risk, is intrinsic to stochastic modelling, and that its analysis opens new challenging mathematical and numerical questions.
We will also present recent results which concern strategies which, issued from the technical analysis, do not rely on a specific mathematical model and therefore are robust w.r.t model risk.
Various theories will be used, such as statistics of random processes, stochastic control, Malliavin calculus, backward stochastic differential equations, viscosity solutions of nonlinear Partial Differential equations.
However the course will be self-contained
Peter Laurence (U. Roma)
René Aid (Electricite' de France)
Fred Benth (U. Oslo)
Valery Kholodnyi (Verbund)
Remark: Speaker: Prof. Denis Talay

Registration for this mini-course is free, but is mandatory.
Please register by sending an email to laurenceWPI@gmail.com
Please send only one email per registree, i.e. please do not try and register a second person.
Registration will close when all seats are taken.

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