Robust pricing, hedging and investing in discrete time

Ludovic Tangpi (HU Berlin)
Thursday, July 9, 2015 - 4:00pm
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041

We provide a theoretical framework for pricing, hedging and investing in a model-independent financial market. Our method relies on representation results for convex increasing functionals and extends to hedging problems with given marginals. Based on joint works with P. Cheridito and M. Kupper.