HEC Montréal, Canada, 2 - 4 mai 2011

Journées de l'optimisation 2011

HEC Montréal, Canada, 2 — 4 mai 2011

Horaire Auteurs Mon horaire

MB1 Exposé magistral II / Tutorial II

2 mai 2011 15h30 – 17h10

Salle: Banque Scotia

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.