Prof. Dr. Thorsten Schmidt
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abgelegt unter:
FDM-Seminar
Knightian uncertainty in Financial Markets
Short summary: In this talk we revisit uncertainty in probability when the underlying probability measure can not be estimated in a reliable way which is often the case in financial markets. We will see some applications where upper and lower bounds are of interest which lead to non-linear expectation operators in contrast to the very familiar and well-known linear expectation.