Stochastics and Finance Seminar: Jan Obloj -- Robust Finance. Part II

Speaker: Prof Jan Obloj (Oxford) 

Title: Robust Finance.  Part II -- Fundamental Theorems 

Abstract: We pursue robust approach to pricing and hedging in mathematical finance.  We
develop a general discrete time setting in which some underlying assets and options are
available for dynamic trading and a further set of European options, possibly with
varying maturities, is available for static trading.  We include in our setup modelling
beliefs by allowing to specify a set of paths to be considered, e.g.  super-replication
of a contingent claim is required only for paths falling in the given set.  Our
framework thus interpolates between model-independent and model-specific settings and
allows to quantify the impact of making assumptions.  We establish suitable FTAP and
Pricing-Hedging duality results which include as special cases previous results of
Acciaio et al.  (2013), Bouchard and Nutz (2015), Burzoni et al.  (2016) as well the
Dalang-Morton-Willinger theorem.  Finally, we explain how to treat further problems,
such as insider trading (information quantification) or American options pricing.  The
talk will cover a body of results developed in collaboration with A.  Aksamit, M.
Burzoni, S.  Deng, M.  Frittelli, Z.  Hou, M.  Maggis, X.  Tan and J.  Wiesel.  

http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html