Mini-course "Introduction to the Theory of Financial Risk"
In December 12 and December 13 2019 a professor of the University of North Carolina at Charlotte (USA) Stanislav Molchanov delivered a mini-course "Introduction to the Theory of Financial Risk"
The aim of the mini-course was a 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.
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.