On the support of extremal martingale measures with given marginals: the countable case

Add to your list(s) Download to your calendar using vCal

• Luciano Campi
• Tuesday 27 October 2015, 15:00-16:00
• CMS, MR15.

If you have a question about this talk, please contact mrt31.

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 counter- parts 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.

This talk is part of the Finance - Centre for Financial Research series.

This talk is included in these lists:

• All CMS events
• All Talks (aka the CURE list)
• CMS Events
• CMS, MR15
• DPMMS Lists
• DPMMS info aggregator
• DPMMS lists
• Finance - Centre for Financial Research
• Hanchen DaDaDash
• Interested Talks
• School of Physical Sciences
• Statistical Laboratory info aggregator
• bld31

Note that ex-directory lists are not shown.