AI models for reasoning under partial knowledge: from theory to applications (3)02/24/2023
Speaker(s) : Davide PETTURITI (University of Perugia, Italy)
Titre : Applications in finance: pricing problems under ambiguity
Résumé : In this seminar we consider a pricing problem in a market with frictions in the form of bid-ask spreads. We first analyse a normative principle generalizing the standard no-arbitrage condition and derive a sound pricing rule. Next, we address the dynamic case by presenting some recent results on stochastic processes in the framework of belief functions.
Détails: cliquer ici.
Lieu des séminaires:
Christophe.Marsala (at) nulllip6.fr