HEC Montréal, Canada, May 2 - 4, 2011

2011 Optimization Days

HEC Montréal, Canada, 2 — 4 May 2011

Schedule Authors My Schedule

MB1 Exposé magistral II / Tutorial II

May 2, 2011 03:30 PM – 05:10 PM

Location: Banque Scotia

1 Presentation

  • 03:30 PM - 05:10 PM

    Robust Optimization in Finance

    • Pierre Bernhard, presenter, INRIA-Sophia Antipolis-Méditerranée

    Traditional mathematical finance relies heavily on stochastic models of financial
    time histories: stock prices, interest rates, \ldots. We shall emphasize methods
    that are less or not at all dependant on such models: uniform interval model for
    the dynamic portfolio optimization problem and non-stochastic approaches
    of the option pricing problem, for both Black and Scholes and interval models.