2024年度

Math-Fi seminar on 4 July

2024.07.04 Thu up
  • Date: 4 July (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
  • Time: 16:30 – 18:00

  • Speaker : Anna Aksamit(Usydney)    
  • Title: Introduction to robust finance Ⅱ
  • Abstract: 
 In this short course we present robust approach to pricing and hedging. The aim is to find bounds on the prices of exotic derivatives in terms of the (market) prices of call options. We do not make any explicit assumptions about the dynamics of the price process of the underlying asset. We deduct information about the distribution of asset prices from the call prices. The obtained bounds are robust with respect to model assumptions. We will present pricing and hedging of some specific payoffs, as well as, duality for more general class of payoffs

コメントは受け付けていません。