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Lecture 3: Dynamic risk measures | Einstein Institute of Mathematics

Lecture 3: Dynamic risk measures

Date: 
Tue, 08/03/200516:00
Lecturer: 
Prof. Hans Föllmer, Humboldt University, Berlin

The problems of quantifying the risk of a stochastic payment stream and of updating a risk assessment in the light of incoming information have led to a theory of dynamic risk measures. We discuss some recent developments, in particular the connections to the pricing problem for American options and to the theory of backward stochastic differential equations.

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