Speaker : Hans Fӧllmer (Humboldt University)
Date : Februray 25, 2012 (Saturday)
Venue : Lecture Theater, T.Y. Wong Hall,
5/F, Ho-Sin Hang Engineering Building,
The Chinese University of Hong Kong Map
Lecture : 4:00pm – 5:00pm
Drinks Reception : 5:00pm – 6:00pm
Inquiry : hkqf_help@[NO-SPAM]se.cuhk.edu.hk
ABSTRACT: In view of the recent financial crisis it has been asked to which extent the increasing use of advanced probabilistic methods inFinance has been part of the problem. We focus on the foundational issue of model uncertainty, also called “Knightian uncertainty”. This will be illustrated by the interplay between “real world measures” and “martingale measures” in the standard framework of Mathematical Finance and also by the problem of quantifying financial risk. In particular we discusssome recent developments in the probabilistic analysis of financial bubbles and in the theory of convex risk measures.
BIOGRAPHY: Hans Fӧllmer is Professor Emeritus of Mathematics at Humboldt-Universität zu Berlin, Andrew D. White Professor-at-Large at Cornell University, and Visiting Professor at the National University of Singapore. Before joining Humboldt University in 1994, he has been professor at the universities of Frankfurt and Bonn and at ETH Zürich.
Hans Fӧllmer is widely known for his contributions to probability
theory and mathematical finance. He received numerous awards, including
the Prix Gay-Lussac/Humboldt of the French Government, the Georg-Cantor
medal of the German Mathematical Society, and a honorary degree of the
University Paris-Dauphine. He is a member of the Berlin-Brandenburgische
Akademie der Wissenschaften, the German National Academy of Sciences
Leopoldina, and the European Academy of Sciences Academia Europaea.
