Workgroup Financial Mathematics

Breadcrumb Navigation


Special Topics in Mathematical Finance

Prof. Dr. H. Föllmer

Date and Time

Further Information

  • We discuss the asymptotic behavior of convex risk measures applied to large portfolios and its connection to  robust versions of large deviation bounds. We also discuss some probabilistic aspects of financial bubbles, on the hand in terms of the dynamics of risk measures and on the other hand in terms of local vs. global martingale properties.