Seminar series
Date
Mon, 14 Jan 2019
Time
15:45 -
16:45
Location
L3
Speaker
IMANOL PEREZ
Organisation
University of Oxford
We address the problem of pricing and hedging general exotic derivatives. We study this problem in the scenario when one has access to limited price data of other exotic derivatives. In this presentation I explore a nonparametric approach to pricing exotic payoffs using market prices of other exotic derivatives using signatures.