Acceptability Indices, g-Expectation and G-Expectation

Tao Chen
Title: Acceptability Indices, g-Expectation and G-Expectation
Mr. Tao Chen will present the properties of dynamic acceptability indices induced by g-Expectation and give an introduction of G-expectation with its application to finance.

Yu-Sin Chang
Title: CDS Pricing
Ms. Yu-Sin Chang will verify the survival probability of the firm under exponential jump process and continue her topic on pricing of CDS with BVA.

Mariusz Neieweglowski
Title: Markov Copula
Dr. Nieweglowski will continue talking about dependence between components of multivariate Markov processes.

Event Topic

Mathematical Finance, Stochastic Analysis, and Machine Learning