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BEGIN:VEVENT
UID:DSC-3967
DTSTART;TZID=Europe/Berlin:20121122T145000
SEQUENCE:1351847264
TRANSP:OPAQUE
DTEND;TZID=Europe/Berlin:20121122T155000
URL:https://www.dresden-science-calendar.de/calendar/de/detail/3967
LOCATION:TUD Willers-Bau\, Zellescher Weg 12-1401069 Dresden
SUMMARY:Beiglböck: Optimal Transport and Model Independence
CLASS:PUBLIC
DESCRIPTION:Speaker: Dipl. Ing. Privatdoz. Dr. Mathias Beiglböck\nInstitut
 e of Speaker: Universität Wien\nTopics:\nMathematik\n Location:\n  Name: 
 TUD Willers-Bau (WIL A 124)\n  Street: Zellescher Weg 12-14\n  City: 01069
  Dresden\n  Phone: \n  Fax: \nDescription: Robust pricing of an exotic der
 ivative with payoff $\\Phi$ can be viewed as the task of estimating its ex
 pectation $E_Q \\Phi$ 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 marti
 ngale setup and allow to characterize minimizing/maximizing models in the 
 robust pricing problem. Moreover\, the dual viewpoint provides new insight
 s to the classical inequalities of Doob and Burkholder-Davis-Gundy.  
DTSTAMP:20260625T001133Z
CREATED:20121009T170933Z
LAST-MODIFIED:20121102T090744Z
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