Mini-course "Introduction to the Theory of Financial Risk"
Laboratory of Stochastic Analysis and its Applications invites you to the mini-course «Introduction to the Theory of Financial Risk» by the professor of the University of North Carolina at Charlotte (USA) Stanislav Molchanov
Location: Moscow, 11 Pokrovsky Boulevard, room D203
Language: Russian
Schedule of the mini-course:
- 12 December – 15:10 – 18:00
- 13 December – 15:10 – 18:00
- 14 December – 15:10 – 18:00
The aim of the mini-course: discussion of the paper (A. Cherny, R. Douady, S. Molchanov “On measuring non-linear risk with scarce observations”, Finance and Stochastic, 2010, 14(03)) and the questions related to it.
Tentative program
1. Wick-Hermit Polynomials. General properties. Weighted Hilbert spaces.
2. Cluster expansion. Topological equivalence of Hilbert spaces.
3. Basic concepts of risk theory. Stability problem. Main results.
4. Cluster decomposition and the percolation theory. Application to the problem of globalization.
The course is open to anyone interested. Whether you need the pass to the Higher School of Economics, do not hesitate to contact the lab manager Anna Belykh: abelykh@hse.ru