Uncertainty as an ingredient in financial modeling

Instantanés de recherche mathématique à Oberwolfach

Uncertainty as an ingredient in financial modeling

Uncertainty – as opposed to risk – is used to describe events to which we are not able to assign a probability due to lack of information. Instead of assigning a probability to an uncertain event, we only assume that such an event is possible or that its probability is within some range. We illustrate the effects of the inclusion of uncertainty in modeling by looking at simple cases of an optimal investment problem.

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Sujet mathématique

Théorie des probabilités et statistique

Liens avec d'autres domaines

Finances
Humanités et sciences sociales

Auteur(s)

Ralf Korn

Licence

DOI

10.14760/SNAP-2024-004-EN

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snapshot-2024-004.pdf

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Sujet mathématique

Algèbre et théorie des nombres
Analyse
Pédagogie et éducation
Mathématiques discrètes et fondements des mathématiques
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Calcul numérique et calcul scientifique
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Informatique
Ingénierie et technologie
Finances
Humanités et sciences sociales
Sciences de la vie
Physique
Pensées mathématiques

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