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SUMMARY:Rothschild Distinguished Visiting Fellow Lecture: Admitting Uncert
 ainty: On the Role of Probability in Finance - Foellmer\, H (Humboldt-Univ
 ersitt zu Berlin)
DTSTART:20141209T160000Z
DTEND:20141209T170000Z
UID:TALK56566@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Over the last decades\, advanced probabilistic methods have pl
 ayed an increasing role in Finance\, both in Academia and in the financial
  industry. In view of the recent financial crisis it has been asked to whi
 ch extent the use of such methods has been part of the problem. We review 
 some of the arguments and then focus on the pervasive issue of model uncer
 tainty\, or "Knightian uncertainty". This will be illustrated by the inter
 play between "historical measures" and "martingale measures" in the standa
 rd framework of Mathematical Finance\, by strictly path-wise arguments tha
 t eliminate probabilistic arguments altogether\, and by the quantification
  of financial risk in terms of monetary risk measures. \n\n
LOCATION:Seminar Room 1\, Newton Institute
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