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

Sandra Trenovatz sandra at fam.tuwien.ac.at
Thu Jun 8 18:02:13 CEST 2006


There was a small mistake in the announcement:
The duration of the talk on Thuesday is only 45 minutes
from 17:15-18:00.
Sorry for the faulty mail a minute ago, Sandra Trenovatz
--------------------------------------------------------------


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, 17:15-18:00, 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).



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