Introduction to Mathematical Risk Measures and Risk Minimisation

FIN529 Introduction to Mathematical Risk Measures and Risk Minimisation

  • Topics

    Topics

    Topics

    Part 1:  Introduction to risk measures. An axiomatic approach.

    (i)  What is a reasonable definition of a risk measure? 

    (ii) An axiomatic approach. 

    (iii) A complete representation of  convex risk measures and coherent risk measures.

     

    Part 2: A short introduction to backward stochastic differential equations and their applications in finance.  

    The areas of application include 

    (i) recursive utility

    (ii) replicating portfolios

    (iii) stochastic control 

    (iv) representation of dynamic risk measures

     

    Part 3:  Applications to risk minimization in finance

    (i) by means of stochastic differential games

    (ii) by means of optimal control of systems of forward-backward stochastic differential equations.

  • Learning outcome

    Learning outcome

    The purpose of this course is to give a solid introduction to Mathematical Risk Measures and Risk Minimization, as listed below. At the end of the course, students should hold a solid understanding of the concepts and methods covered to the level of being able to apply these in financial and economic analyses.

  • Teaching

    Teaching

    Regular lectures.

    Dates for the course:

    Part 1: Wednesday 13 February 2013

    Part 2: Wednesday 6 March 2013

    Part 3: Wednesday 20 March 2013

     

    Lecture hours and place:

    10.15 -12.00 in Auditorium 14, NHH

    13.15 - 15.00 in Auditorium 13, NHH

  • Required prerequisites

    Required prerequisites

    Students should have good knowledge of finance concepts & tools at the master level.

  • Assessment

    Assessment

    Term paper.

  • Grading Scale

    Grading Scale

    Pass - Fail

  • Computer tools

    Computer tools

    none

  • Semester

    Semester

    Spring

  • Literature

    Literature

    Assigned articles.

Overview

ECTS Credits
4
Teaching language
English.
Semester
Spring, Autumn

Course responsible

Bernt Øksendal, Department of Business and Management Science