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Matija Vidmar: On a family of non-linear optimal martingale transport problems

Date of publication: 1. 4. 2019
Seminar for probability, statistics, and financial mathematics
Četrtek, 4. aprila 2019, ob 14:15 v predavalnici 3.06 na FMF, Jadranska 21, Ljubljana.

V četrtek, 4. aprila 2019, ob 14:15 bo v predavalnici 3.06 Fakultete za matematiko in fiziko Univerze v Ljubljani na Jadranski ulici 21 v Ljubljani potekalo predavanje Matije Vidmarja z naslovom On a family of non-linear optimal martingale transport problems.

Povzetek: We investigate the structure of the solution to a class of "non-linear" one-step one-dimensional optimal martingale transport problems. The mentioned non-linearity is in the objective functional, and it comes from an application of a (non-linear) function to a conditional expectation of another function, before the outer unconditional expectation (all w.r.t. a martingale coupling) is finally taken. The class of problems is motivated by one of its particular cases that has to do with a robust (model-independent) pricing of a futures on the S&P 500 VIX volatility index (Guyon et al., Finance Stoch (2017) 21(3):593).

This is joint work (in progress) with Alex Cox from Bath.