----------------------------------------------------------------------- This time we announce a talks at University of Vienna -----------------------------------------------------------------------
Mo, 12.12.2011, 14:15-15:15, seminar room C 207, UZA 4 (different time and different location!) University of Vienna, Nordbergstraße 15, 1040 Wien
Michael Kupper (HU Berlin) http://www.math.hu-berlin.de/~kupper/ "Minimal Supersolutions of BSDEs and Robust Hedging" (Seminar Finanzmathematik)
For abstract see: http://www.mat.univie.ac.at/finance/seminarWS11.html
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We, 14.12.2011, 16:15-17:00, Olga Taussky-Todd Raum (C 209), UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien
Walter Schachermayer (University of Vienna) http://www.mat.univie.ac.at/~schachermayer/ "A Trajectorial Interpretation of Doob's Martingale Inequalities by Hedging Exotic Options" (Mathematisches Kolloquium)
Abstract: The talk links ideas from optimal transport theory with ideas from mathematical finance: for the problem of hedging exotic options in a model independent framework we provide duality results reminiscent of the well-known duality theorems for optimal transport. A somewhat surprising application is a new trajectorial insight into classical martingale inequalities due to J. Doob by interpreting the maximal function of a martingale as an exotic option. We find sharp constants in these inequalities, thus answering a question which has been open for some 20years. This work is joint with B. Acciaio, M. Beiglböck, F. Penkner, and J. Temme from University of Vienna.
15:45 coffee & cake, Common Room (C 206)
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