[FAM-news] reminder for upcoming seminars and talks

Sandra Trenovatz sandra at fam.tuwien.ac.at
Mon May 27 23:55:39 CEST 2013


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University of Vienna
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We, 29.05.2013, 17:30-18:30, Olga Taussky-Todd Raum (C 2.09)
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor

    Beatrice Acciaio (University of Vienna and University of Perugia)
    http://beatrice-acciaio.net/
    "Optimal Transport, Model-Independent Pricing
     and Trajectorial Inequalities"
    (Habilitation presentation)

Abstract:
We will illustrate the recently discovered connection between the 
problem of pricing financial derivatives in a model-free context and the 
Monge-Kantorovich optimal transport problem. Mathematically the crucial 
difference is that in the pricing problem the transport plans are 
required to be martingales. This link has already proved to be very 
fruitful. In particular, we will see how the duality theorem from 
optimal transport leads to new robust super-replication results. This 
dual viewpoint also provides new insights on classical martingale 
inequalities. For instance, we establish a (new) sharp version of the 
classical Doob maximal inequality.

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