14 DEC 2019
14:00 - 16:00

Venue:
School of Cognitive Sciences, Institute for Research in Fundamental Sciences (IPM),
Opposite the ARAJ, Artesh Highway, Tehran, Iran on map




* To join the mailing list:
Send an empty email to: scs at ipm dot ir on the subject of: #join

15 DEC 2019
14:00 - 16:00

Venue:
School of Cognitive Sciences, Institute for Research in Fundamental Sciences (IPM),
Opposite the ARAJ, Artesh Highway, Tehran, Iran on map




* To join the mailing list:
Send an empty email to: scs at ipm dot ir on the subject of: #join

19 DEC 2019
10:00 - 11:00

TBA

23 DEC 2019
14:00 - 15:00

Some historical stock or option-implied volatilities do not incorporate a complete view of the forward volatility. In these circumstances, the volatility of future prices can not be presented by a single number or a predetrmined function of the time and price or even a stochastic process with given statistics. So under ambiguity, future volatility value, based on observations of probability measures, is proposed to be lied in a bounded set. To specify the market more precisely, a family of probability measures as {Pθ : θ ∈ Θ} is indicated instead of fixing a probability measure. In such uncertain environment, non-uniqueness of martingale measures prevent pricing and perfectly replicating hedges with certainty. The first notation in the study of stochastic calculus under uncertainty is denoted by E? , which is called sublinear expectation. The nice operator E? provide a robust way for pricing risk positions in the uncertain economy and also define a coherent risk measure on acceptabe sets. Here, new triple (Ω,H ,E?) has the most important role in the stochastic calculus in the presence of uncertain probablities similar to (Ω,F,P) in the classical notation. In this talk, we intend to introduce the necessary tools for the problem of probability model under uncertainty with application to finance.