Monetary Risk Measures
Speaker: Professor Freddy Delbaen, Swiss Federal Institute of Technology (ETH Zurich)
Presentation (PDF 260KB)
Abstract: In this talk it will be shown that the problem of calculating the solution of backward stochastic differential equations (with subquadratic driver) is equivalent to that of finding the monetary utility function induced by a superquadratic penalty function. Results on weak compactness for concave monetary utility functions will be employed.
- 19 September 2006
- City - Haymarket CB05D Level 3, Room 3.01
- Conference Delegates