Friday, June 4, 2010

Quantitative Finance Seminar - Season finale

The 2009-10 season for the Quantitative Finance Seminar Series came to a glorious end this week with two heavy weight talks by Freddy Delbaen and Mete Soner, both from ETH (Zurich).

Freddy gave an insider account of convex risk measures (he is a co-author of the paper that started it all), with a particular emphasis on the requirement of time-consistency, which in the Brownian setting leads to a natural connection with BSDEs and the associated semi-linear PDEs.

Mete then explored yet another application of BSDEs (this time related with fully nonlinear PDEs) in the context of (super) hedging a claim on markets with uncertain volatility, which provides the motivation to consider probability measures that are not necessarily absolutely continuous with respect to one another.

I did warn it was heavy weight, didn't I ?

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