On the support of extremal martingale measures 4 novembre 2015 *Luogo:* Dipartimento di Matematica, via Sommarive, 14 - Povo (TN) - Aula Seminari *Ore* 15:00 *Relatore: * - *Luciano Campi *( LSE ) *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 __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686