[Blueboard] Lecture on Mathematical Finance

evbagtas at mathsci.math.admu.edu.ph evbagtas at mathsci.math.admu.edu.ph
Tue Jan 30 10:24:20 PHT 2007

The Ateneo de Manila University Mathematics Department

cordially invites you to a Special Lecture entitled

"Can a mathematician help financial institutions to
manage risk?"


Prof. Maurizio Pratelli
University of Pisa

on February 12, 2007 (Monday)
at SECA 303
4:30 to 6:00 pm


Value-at-Risk (VaR) has gained prominence as a risk measure
because of its intuitive interpretation, but it cannot accurately
describe the aggregated risks of a Bank or a Financial Institution.
Mathematicians have developed a theory on "Coherent risk measures" and
proposed some interesting mathematical problems.  The talk will give
(without mathematical details) a first introduction to this theory and
some of its applications.

About the Speaker:

Born in Milano in 1950.  Graduated in Mathematics at Pisa University
in 1973, obtained his PhD at Scuola Normale Superiore (Pisa) on 1978,
with a thesis on "Probability and Stochastic Processes."  He was
subsequently assistant professor at the Scuola Normale Superiore.
He has been Professor of Probability since 1980, in Lecce (1980 to 81)
and Padova (1981 to 84).  He is currently (since November 1, 1984)
Professor of "Probability and Mathematical Statistics" at Pisa University
(Faculty of Science).  He has been visiting professor at the Universities
of Strasbourg (for two years), Berlin (Technische Universitat and Humboldt
Universitat), Paris VII and Manila.  He is "Associate Editor" of the
Journal "Mathematical Finance."  Since 1997, he is invited by the "Scuola
Normale Superiore" of Pisa to give lectures on "Stochastic Calculus and
Mathematical Finance."  His main research interests are: Probability
Theory and Mathematical Statistics, and (since 1997) Stochastic Models for
Finance markets.

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