Seminar series
Date
Mon, 15 Mar 2021
Time
16:00 -
17:00
Speaker
BRUNO BOUCHARD=DENIZE
Organisation
Ceremade Dauphin
We will discuss several versions of Ito’s formula in the case where the function is path dependent and only concave or C1 in the sense of Dupire. In particular, we will show that it can be used to solve (super) hedging problems, in the context of market impact or under volatility uncertainty.