Fri, 17 May 2013
16:00 -
17:00
DH 1st floor SR
Superhedging under Model Uncertainty
Michael Kupper
(Institut fut Mathematik (Humboldt))
Abstract
We discuss the superhedging problem under model uncertainty based on existence
and duality results for minimal supersolutions of backward stochastic differential equations.
The talk is based on joint works with Samuel Drapeau, Gregor Heyne and Reinhard Schmidt.