Fri, 12 Mar 2010
14:15
DH 1st floor SR

Financial Markets with Uncertain Volatility

Mete Soner
Abstract

 Abstract.  Even in simple models in which thevolatility is only known to stay in two bounds, it is quite hard to price andhedge derivatives which are not Markovian.  The main reason for thisdifficulty emanates from the fact that the probability measures are singular toeach other.  In this talk we will prove a martingale representation theoremfor this market.  This result provides a complete answer to the questionsof hedging and pricing.  The main tools are the theory of nonlinearG-expectations as developed by Peng, the quasi-sure sto chastic artini and thesecond order backward stochastic differential equations.

 This is jointwork with Nizar Touzi from Ecole Polytechnique and Jianfeng Zhang fromUniversity of Southern California.

 

Fri, 12 Mar 2010

11:30 - 13:00
OCCAM Common Room (RI2.28)

OCCAM group meeting

Various
(Oxford)
Abstract

• Amy Smith presents: “Multiscale modelling of coronary blood flow derived from the microstructure”

• Laura Gallimore presents: “Modelling Cell Motility”

• Jean-Charles Seguis presents: “Coupling the membrane with the cytosol: a first encounter”