Feb
4
Dynamic Acceptability Indices
Systemic Risk Description Tao Chen Title: Dynamic Acceptability Indices Mr. Tao Chen will continue to discuss concave distortions in dynamic case and verify each argument in detail. Yu-Sin Chang Title...
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Nov
26
Backward Stochastic Di铿erential Equation
Dynamic Acceptability Indices and Risk Measures Description Mariusz Neieweglowski Title: Backward Stochastic Di铿erential Equation Dr. Neieweglowski will start give a presentation about BSDE for...
Nov
19
Dynamic Acceptability Indices and Risk Measures
Systemic Risk Description Tao Chen Title: Dynamic Acceptability Indices and Risk Measures Mr. Tao Chen will investigate the dynamical consistency properties of dynamic acceptability index and dynamic...
Nov
12
g-Expectation and Dynamic Acceptability Indices
Systemic Risk Description Tao Chen Title: g-Expectation and Dynamic Acceptability Indices Mr. Tao Chen will present the left continuity of conditional risk measures via g-expectation and discuss the...
Nov
5
G-Expectation, g-Expectation and Acceptability Indices
Systemic Risk Description Tao Chen Title: G-Expectation, g-Expectation and Acceptability Indices Mr. Tao Chen will start to talk about G-expectation. He would also present the progress on dynamic AIs...
Oct
29
Acceptability Indices and g-Expectation
Systemic Risk Description Tao Chen Title: Acceptability Indices and g-Expectation Mr. Tao Chen will show the proof of time consistency for acceptability indices induced by g-Expectation and extend...
Oct
10
Acceptability Indices, g-Expectation and G-Expectation
CDS Pricing Description Tao Chen Title: Acceptability Indices, g-Expectation and G-Expectation Mr. Tao Chen will 铿乶ish proving the properties of dynamic acceptability indices induced by g-expectation...
Oct
1
Acceptability Indices, g-Expectation and G-Expectation
CDS Pricing Description Tao Chen Title: Acceptability Indices, g-Expectation and G-Expectation Mr. Tao Chen will present the properties of dynamic acceptability indices induced by g-Expectation and...
Sep
5
Acceptability Indices via g-Expectation
Markov Copula Description Tao Chen Title: Acceptability Indices via g-Expectation Mr. Tao Chen will continue presenting what he started this week. Mariusz Neieweglowski Title: Markov Copula Dr...
Apr
25
Markov Copulae and applications in finance
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation