In this talk, I consider the problem of
hedging European and Bermudan option with a given probability. This
more generally linked to portfolio optimisation problems under weak
stochastic target constraints.
I will recall, in a Markovian framework, the characterisation of the
non-linear PDEs. I will then discuss various numerical algorithms
to compute in practice the quantile hedging price.
This presentation is based on joint works with B. Bouchard (Université
Paris Dauphine), G. Bouveret (University of Oxford) and ongoing work
with C. Benezet (Université Paris Diderot).
- Mathematical and Computational Finance Seminar