Tuesday 7 July 2020 |

Events for day: Monday 23 December 2019 |

14:00 - 15:00 LectureWhen 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 ... |