Marcel Nutz, Columbia University

Robust Finance and Martingale Optimal Transport
Date
Dec 11, 2014, 12:30 pm1:15 pm
Location
101 - Sherrerd Hall

Details

Event Description

We study optimal static hedging with options in the context of model-free finance and the implications for the so-called martingale optimal transport problem. It turns out that the existence of optimal options is related to a quasi-sure concept of market viability. Based on joint works with M. Beiglböck, B. Bouchard and N. Touzi.

Event Category
Financial Mathematics Seminar