Mathematisches Kolloquium
Am Donnerstag, 12.07.2018, um 16:30 Uhr spricht
Halil Meter Soner
(ETH Zürich
)
im HS A027 über das Thema
Quantifying the uncertainty by optimal transport
Zusammenfassung: All applications of quantitative methods are subject to incomplete and uncertain inputs. Despite these ambiguities one has to complete the tasks at hand. In decision theory, this is a classical paradigm of decisions under uncertainty and has clear applications in all of sciences. Indeed modern probability theory has an exciting range of applications ranging from uncertainty quantification in numerical analysis, policy decisions, turbulence to risk management. In this talk, I will first outline and discuss the basic notions and approaches related to uncertainty, risk and preferences. Then, I will describe an approach based on the classical optimal transport to reduce the model dependency in quantitative finance.
Alle Interessierten sind hiermit herzlich eingeladen. Eine halbe Stunde vor dem Vortrag gibt es Kaffee und Tee im Sozialraum (Raum 448) im 4. Stock.
Treffpunkt zum Abendessen um 18.00 Uhr wird noch bekannt gegeben.