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Statistics Seminar: Yan Dolinsky

תאריך: 
ב', 20/11/2017 - 15:30 עד 16:30

מיקום: 
Hevra 4412

 

Title: Market delay and volatility uncertainty.

Abstract: We study super-replication of contingent claims in markets with delay. 

This can be viewed as a stochastic target problem with delayed filtration. 

First, we establish a duality result for this setup. Our second result says that the scaling limit of super–replication prices for binomial models with a 

fixed number moments of delay H is equal to the G–expectation with volatility uncertainty interval  which we find explicitly.

 

מרצה: 
(Yan Dolinsky, Hebrew University (on leave at Monash University