Binomial Tree Malliavin Calculus And Risk Measures
PRESENTER: Professor Robert Elliott
RSVP: firstname.lastname@example.org for catering purposes
The classical familiar framework used to introduce financial pricing is the binomial model. The talk will discuss several more advanced concepts in this simple framework. These will include martingale representation, Malliavin derivatives, backward stochastic difference equations and dynamic risk measures. The latter are introduced using non linear expectations which are the solutions of backward stochastic difference equations.
(Joint work with Tak Kuen Siu (Cass Business School, City University London) Sam Cohen (Mathematical Institute, Oxford.)
Haskayne School of Business, University of Calgary; University of Adelaide
Robert Elliott is an ARC Professorial Fellow at the University of Adelaide, and Scientific Director at the University's Centre for the Quantification and Management of Risk.
Until 2009 he was the Royal Bank Professor of Finance at the University of Calgary.
He has previously held positions at many universities including Oxford and Yale. He is the author of around 450 publications and 9 books including:
Mathematics of Financial Markets with PE Kopp and Binomial Methods in Finance with J van der Hoek.