Introduction to robust hedging duality

LIST

모드선택 :              
세미나 신청은 모드에서 세미나실 사용여부를 먼저 확인하세요

Introduction to robust hedging duality

수리과학부 0 755
구분 수학강연회
일정 2017-09-21(목) 16:00~17:00
세미나실 129동 101호
강연자 박형빈 (서울대)
담당교수 *수학강연회
기타
We pursue robust approach to pricing and hedging options in quantitative finance. The super-hedging problem is to construct a minimal hedging portfolio that dominates the payoff of the option, and the hedging duality is a useful tool to express this super-hedging price. Hedging duality is closely related to the fundamental theorem of asset pricing in a large financial market. In this talk, we discuss recent developments in robust hedging duality with connection to large financial market theory.

    정원 :
    부속시설 :
세미나명