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Sigrid Källblad Nordin: Mathematical Finance and Measure-valued Martingales

Time: Tue 2019-10-08 15.15 - 16.15

Location: F11, KTH

Lecturer: Sigrid Källblad Nordin, KTH

Abstract

In this talk we focus on problems arising in robust mathematical finance; that is, problems resulting from pricing and hedging when acknowledging model uncertainty. We first provide the background and motivation for our key problems of study; particular emphasis will be placed on illustrating their link to optimal Skorokhod embedding problems and martingale optimal transport. We then show how a class of such constrained problems can be reformulated as optimisation problems over measure-valued martingales; the novelty of this reformulation is that it allows the problem to be treated via dynamic programming arguments. We provide some new results on the corresponding stochastic control theory.