[FAM-news] reminder for upcoming seminars and talks

Sandra Trenovatz sandra at fam.tuwien.ac.at
Fri Dec 9 22:18:01 CET 2011


-----------------------------------------------------------------------
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

-----------------------------------------------------------------------

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)

-----------------------------------------------------------------------



More information about the FAM-news mailing list