Luogo: Dipartimento di Matematica, via Sommarive, 14 - Povo (TN) - Aula Seminari
Ore 15:00
Relatore:
Abstract:
After discussing some characterisations of extremal measures with given
marginals available in the literature, going from functional analysis to
combinatorics, we will turn to their martingale counterparts whose
study is related to robust pricing and hedging. In particular, we will
give some sufficient and necessary conditions with a geometric and
combinatorial flavour for a given set to be the support of an extremal
martingale measure with pre-specified discrete marginals. Some open
problems will be discussed as well. This is based on joint work with
Claude Martini.
Il seminario si svolge all'interno del progetto Research in Pairs "McKean-Vlasov dynamics with Lévy noise with applications to systemic risk" , L.Campi e L. Di Persio , finanziato dal CIRM