Numerical approximation of quantile hedging problem

23 November 2017
Jean-Francois Chassagneux

In this talk, I consider  the problem of
hedging European and Bermudan option with a given probability. This 
question is
more generally linked to portfolio optimisation problems under weak
stochastic target constraints.
I will recall, in a Markovian framework, the characterisation of the 
solution by
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