Skip to main content

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


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.  

Belongs to: Department of Mathematics
Last changed: Oct 04, 2019