IPM Calendar 
Sunday 15 December 2019   Today  
Events for day: Monday 23 December 2019    
           14:00 - 15:00     Lecture
When the Uncertain Probabilities Challange the Financial Mathematics

School
MATHEMATICS

Some historical stock or option-implied volatilities do not incorporate a complete view of the forward volatility. In these circumstances, the volatility of future prices can not be presented by a single number or a predetrmined function of the time and price or even a stochastic process with given statistics. So under ambiguity, future volatility value, based on observations of probability measures, is proposed to be lied in a bounded set. To specify the market more precisely, a family of probability measures as {Pθ : θ ∈ Θ} is indicated instead of fixing a probability measure. In such uncertain environment, non-un ...