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401-4910-58L
6
Credits
MSC
D-MATH
Nonlinear Expectations and Risk Measures
Lecturers & Examiners:
Dr. Delia Marina Coculescu Nikeghbali Cisakht
Last Updated: 2026-02-05 15:23:56
Abstract
The object of this seminar is to study the so-called g-evaluations and g-expectations, defined by solutions of a backward stochastic differential equation with g as its generating function. These provide a dynamic pricing mechanisms of financial derivatives. The well-known Black-Scholes formula is a typical model where the corresponding generating function g of the BSDE is a linear function.
General Information
- Language
- English
- Levels
- MSC
Examination
- Type
- ungraded semester performance
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| seminar | Nonlinear Expectations and Risk Measures |
|
2 h weekly |