AI models for reasoning under partial knowledge: from theory to applications (3)

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)
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