[FAM-news] Series of lectures of A. Cherny

Sandra Trenovatz sandra at fam.tuwien.ac.at
Thu Jun 8 17:55:29 CEST 2006

Alexander S. Cherny,
(Moscow State University)

"Coherent Risks and their applications"

1st part: Friday,   9.06.2006, 11:00-12:30, FH 2,
          FH2: Freihaus, yellow area, 2nd floor
          Freihaus, Wiedner Hauptstr. 8-10, 1040 Wien

2st part: Tuesday, 13.06.2006, 17:15-18:30, Sem 107,
          Sem 107: Freihaus, green area, 6th floor

3rd part: Friday,  16.06.2006, 11:00-12:30, Sem 105B
          Sem 105B: Freihaus, green area, 7th floor

The basic idea behind these lectures is: the whole finance can be built
based on coherent risks.

I will speak about applications of coherent risks to:

 - pricing;
 - optimization;
 - optimality pricing;
 - equilibrium.

Moreover, several topics in the "pure" theory of coherent risks will be
discussed. These include:

 - coherent risk contribution;
 - capital allocation;
 - factor risks.

I will also describe two new classes of coherent risks: Alpha V at R and
Beta V at R that are better than Tail V at R.

These lectures will be based on a series of papers available at:
http://mech.math.msu.su/~cherny/ (papers 24-30).

More information about the FAM-news mailing list