A Trajectorial Interpretation of Doob's Martingale Inequalities by Hedging Exotic Options
from 16:15 to 17:00
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Abstract. The talk links ideas from optimal transport theory with ideas from mathematical finance: for the problem of hedging exotic options in a model independent framework we provide duality results reminiscent of the well-known duality theorems for optimal transport. A somewhat surprising application is a new trajectorial insight into classical martingale inequalities due to J. Doob by interpreting the maximal function of a martingale as an exotic option. We find sharp constants in these inequalities, thus answering a question which has been open for some 20 years.
This work is joint with B. Acciaio, M. Beiglböck, F. Penkner, and J. Temme from Vienna University.
Ab 15:45 Uhr, Kaffe und Kuchen im common room.