[FAM-news] reminder for upcoming seminars and talks - talk tomorrow

Sandra Trenovatz sandra at fam.tuwien.ac.at
Mon Feb 6 17:37:55 CET 2012


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Sorry for sending a second mail this week, but tomorrow's talk at 
University of Vienna was sent to me only today.  Best regards, Sandra
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Mo, 07.02.2012, 15:00-17:00, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien

    David Hobson (University of Warwick)
 
http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic-research/hobson

    "Skorokhod embeddings, the Azema-Yor and Perkins embeddings,
     and model-independend bounds for the prices of Variance Swaps"

Abstract:

The Skorokhod embedding problem (SEP) for Brownian motion W is, given a 
centred probability measure \mu, to find a stopping time \tau such that 
the stopped process W_\tau has law \mu. Azema and Yor and later Perkins 
gave explict solutions to the SEP with particluar optimality properties.

The robust pricing problem, is given the prices of vanilla options but 
under no further assumptions on the model, to give model independent 
prices and hedges for co-maturing exotic options.

In this talk we discuss the link between these two problems and show how 
the Azema-Yor and Perkins embeddings can be used to give bounds on the 
prices of barrier and lookback options, and also how the Perkins 
embedding leads to bounds on the prices of discretely monitored variance 
swaps.

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