Optimal Transport and Model Independence

Datum

22.11.2012

Zeit

14:50 - 15:50

Sprecher

Dipl. Ing. Privatdoz. Dr. Mathias Beiglböck

Zugehörigkeit

Universität Wien

Serie

TUD Mathematik AG Analysis & Stochastik

Sprache

en

Hauptthema

Mathematik

Andere Themen

Mathematik

Host

Prof. Dr. R. Schilling

Beschreibung

Robust pricing of an exotic derivative with payoff $\Phi$ can be viewed as the task of estimating its expectation $E_Q \Phi$ with respect to a martingale measure $Q$ satisfying marginal constraints. It has proven fruitful to relate this to the theory of Monge-Kantorovich optimal transport. For instance, the duality theorem from optimal transport leads to new super-replication results. Optimality criteria from the theory of mass transport can be translated to the martingale setup and allow to characterize minimizing/maximizing models in the robust pricing problem. Moreover, the dual viewpoint provides new insights to the classical inequalities of Doob and Burkholder-Davis-Gundy.

Links

• AG Analysis & Stochastik

Letztmalig verändert: 02.11.2012, 10:07:44