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This time we announce a talks at University of Vienna
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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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