Special Topics in Mathematical Finance
Date and Time
- Thu 12:15 to 13:45 (Room B 251).
- 9/6/2011, 16/6/2011 and 30/6/2011.
- Special guest lectures within the scope of the seminar Forschungstutorium Finanzmathematik.
- 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.