Logo Università degli Studi di Milano



 
 
Eventi  

de Finetti Risk Seminars / Patrick CHERIDITO 15 marzo 2017

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture
 
TITLE:
Duality formulas for robust pricing and hedging in
discrete time
 
Patrick Cheridito
ETH Zurich
 

ABSTRACT:
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating the shortfall risk completely, aim to reduce it to an acceptable level. This yields robust price bounds with tighter spreads. As applications we study strict super- and subhedging with general convex transaction costs and trading constraints as well as risk based hedging with respect to robust versions of the average value at risk and entropic risk measure. Our approach is based on representation results for increasing convex functionals and allows for general financial market structures. As a side result it yields a robust version of the fundamental theorem of asset pricing. Joint work with Michael Kupper and Ludovic Tangpi.

LOCATION:
The seminar will be held on Wednesday, March 15, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. 
A refreshment will be offered at 17.30.
13 marzo 2017
Torna ad inizio pagina