FIN529 Introduction to Mathematical Risk Measures and Risk Minimisation
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.
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.
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
Students should have good knowledge of finance concepts & tools at the master level.
Pass - Fail
- ECTS Credits
- Teaching language
- Spring, Autumn
Bernt Øksendal, Department of Business and Management Science