Rothschild Distinguished Visiting Fellow Lecture: Admitting Uncertainty: On the Role of Probability in Finance
1 hour 5 mins,
120.07 MB,
MP3
44100 Hz,
252.21 kbits/sec
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| Description: |
Foellmer, H (Humboldt-Universität zu Berlin)
Tuesday 09 December 2014, 16:00-17:00 |
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| Created: | 2014-12-15 12:57 |
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| Collection: | Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches |
| Publisher: | Isaac Newton Institute |
| Copyright: | Foellmer, H |
| Language: | eng (English) |
| Distribution: |
World
(downloadable)
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| Explicit content: | No |
| Aspect Ratio: | 16:9 |
| Screencast: | No |
| Bumper: | UCS Default |
| Trailer: | UCS Default |
| Abstract: | Over the last decades, advanced probabilistic methods have played an increasing role in Finance, both in Academia and in the financial industry. In view of the recent financial crisis it has been asked to which extent the use of such methods has been part of the problem. We review some of the arguments and then focus on the pervasive issue of model uncertainty, or "Knightian uncertainty". This will be illustrated by the interplay between "historical measures" and "martingale measures" in the standard framework of Mathematical Finance, by strictly path-wise arguments that eliminate probabilistic arguments altogether, and by the quantification of financial risk in terms of monetary risk measures. |
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