1 présentation

• 
  15h30 - 17h10

  Robust Optimization in Finance

  • Pierre Bernhard, prés., 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.