In this talk I will consider model-independent pricing problems in a stochastic interest rates framework. In this case the usual tools from Optimal Transport and Skorokhod embedding cannot be applied. I will show how some pricing problems in a fixed-income market can be reformulated as Weak Optimal Transport (WOT) problems as introduced by Gozlan et al. I will present a super-replication theorem that follows from an extension of WOT results to the case of non-convex cost functions.
This talk is based on joint work with M. Beiglboeck and G. Pammer.
- Stochastic Analysis & Mathematical Finance Seminars