Lethbridge Analysis Seminar: Niushan Gao

In this talk, I will briefly review the basic modeling of Mathematical Finance, and then focus on how to numerically measure the risk of a financial position. For the latter purpose, we will introduce the notions of coherent risk measures and convex monetary risk measures. The main result I will present is a robust representation theorem of convex monetary risk measures on all Orlicz spaces other than L1. No prerequisite is needed except some fundamentals of probability theory such as denitions of Lp-spaces and of functional analysis such as denitions of dual spaces and w-topology. This is joint work with F. Xanthos (Ryerson University).