Institut für Mathematik


Konferenz: Workshop on Mathematics in Finance

Risk Measures and Mathematics

Vortrag von Prof. Dr. Freddy Delbaen
Datum: 18.10.13   Zeit: 16.50 - 17.40   Raum: Y27H46

Capital requirements for financial institutions or even for financial transactions can be determined via economic principles. The axioms needed are similar to the axioms in utility theory but there are essential differences. The representation of such monetary utility functions is obtained via duality theory. The usual pitfalls from infinite dimensional duality find their way in many counter-examples. The introduction of dynamic aspects and the use of modern theory of stochastic processes then lead to Backward Stochastic Differential Equations which in turn -- when the models are diffusion processes -- bring us to semi linear (or quasi linear) PDE. The talk is mathematical with economic interpretations. I will try to refrain from making political comments.