Date
Thu, 31 Oct 2013
Time
13:00 - 14:00
Location
L6
Speaker
James Newbury and Zhaoxu Hou

\textbf{James Newbury} \newline

Title: Heavy traffic diffusion approximation of the limit order book in a one-sided reduced-form model. \newline

Abstract: Motivated by a zero-intelligence approach, we try to capture the

dynamics of the best bid (or best ask) queue in a heavy traffic setting,

i.e when orders and cancellations are submitted at very high frequency.

We first prove the weak convergence of the discrete-space best bid/ask

queue to a jump-diffusion process. We then identify the limiting process

as a regenerative elastic Brownian motion with drift and random jumps to

the origin.

\newline

\textbf{Zhaoxu Hou} \newline

Title: Robust Framework In Finance: Martingale Optimal Transport and

Robust Hedging For Multiple Marginals In Continuous Time

\newline

Abstract: It is proved by Dolinsky and Soner that there is no duality

gap between the robust hedging of path-dependent European Options and a

martingale optimal problem for one marginal case. Motivated by their

work and Mykland's idea of adding a prediction set of paths (i.e.

super-replication of a contingent claim only required for paths falling

in the prediction set), we try to achieve the same type of duality

result in the setting of multiple marginals and a path constraint.

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