Price and Risk
H. Mete Soner, ETH Zürich, Switzerland
Date:
23 Jan 2013
Time:
2.00pm – 3.00pm
Venue:
S16-04-06
(This seminar is organized jointly with Dept of Math)
About the Speaker
Abstract
Everyday all financial institutions price diverse financial instruments and also evaluate the risk associated with their very complex portfolios. The reasons for pricing are clear and pricing is very closely related to the risk associated with the instrument considered. However, assesment of risk has several other and probably more important aspects than pricing. Firstly, there are regulatory constraints and secondly risk management starts with a proper evaluation of risk. Mathematical finance offers methods and also theories for these activities. In this talk, I will outline mathematical methods for pricing and risk measurement. Also discuss how and why they differ from each other.
