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Notizie  

de Finetti Risk Seminars / Jorge P. Zubelli

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture
   

Title: Project Evaluation under Uncertainty: From Minimal Martingale Measures to Implementation.

Speaker: Jorge P. Zubelli (IMPA)

Abstract:
Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market
investments. Furthermore, they can be evaluated by comparing to portfolios of investments in financial assets such as in stocks, derivatives and commodity futures. This revolution led to the development of a new field of managerial science known as Real Options.
The use of Real Option techniques incorporates also the value of flexibility and gives a broader view of many business decisions that brings in techniques from quantitative finance and risk management.
Such techniques are now part of the decision making process of many corporations and require a substantial amount of mathematical background. Yet, there has been substantial debate concerning the use of risk neutral pricing and hedging arguments to the context of project evaluation. We discuss some alternatives to risk neutral pricing that could be suitable to evaluation of projects in a realistic context with special attention to projects dependent on commodities and non-hedgeable uncertainties. More precisely, we make use of a variant of the hedged Monte-Carlo method of Potters, Bouchaud and Sestovic to tackle strategic decisions. This leads to interesting
numerical analysis questions and to connections with BSDEs.



LOCATION:
The seminar will be held on Thursday, September 17, at 18.00, 
Aula di rappresentanza, Dept. of Mathematics, Milano 
University, Via C. Saldini 50, Milano. A refreshment will 
be offered at 17.30.
15 settembre 2015
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