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Uncertainty as an ingredient in financial modeling

Snapshots of modern mathematics from 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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Mathematical subjects

Probability Theory and Statistics

Connections to other fields

Finance
Humanities and Social Sciences

Author(s)

Ralf Korn

License

DOI (Digital Object Identifier)

10.14760/SNAP-2024-004-EN

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snapshot-2024-004.pdf

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snapshots: overview

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      Mathematical subjects

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      Numerics and Scientific Computing
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      Connections to other fields

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      Engineering and Technology
      Finance
      Humanities and Social Sciences
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      Physics
      Reflections on Mathematics

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