Advances in Mathematical Finance and Optimal Transport
timetable:
Mon 27 Jun, 16:30 - 17:15, Aula Dini
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Fully dynamic risk measures and horizon risk
speaker: Giulia Di Nunno (Oslo University)abstract: We consider the risk of performing a risk assessment with measures that are not adequate to the actual time horizon, this is essentially what we call horizon risk. We then study fully-dynamic risk measures in this perspective and consider the associated notions of consistency, which we study in connection to other properties such as normalisation and restriction. We detail the connection between fully-dynamc risk measures and backward SDE, a family of backward SDEs, Volterra type backward SDEs, and a family of Volterra BSDEs. The presentation is based on joint work with Emanuela Rosazza Gianin.
timetable:
Mon 27 Jun, 16:30 - 17:15, Aula Dini
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