Financial Mathematics

Plenary Speaker

Robert Elliott, Finance, University of Calgary

Plenary Talk

Binomial Tree Malliavin Calculus And Risk Measures

The classical familiar framework used to introduce financial pricing is the binomial model. The talk will discuss several more advanced concepts in this simple framework. These will include martingale representation, Malliavin derivatives, backward stochastic difference equations and dynamic risk measures.  The latter are introduced using non linear expectations which are the solutions of backward stochastic difference equations.