| Time | Thursday Nov 22, 2012 |
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| Multi-Day events |
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Optimal Transport and Model Independence
Speaker Dipl. Ing. Privatdoz. Dr. Mathias BeiglböckAffiliation Speaker Universität WienTime 2:50 PM - 3:50 PMSeries TUD Mathematics AG Analysis & StochasticsLocation WIL A 124 TUD Willers-BauDescription 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…
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