CRM: Centro De Giorgi
logo sns
XVII Workshop on Quantitative Finance -- Session on MATHEMATICAL FINANCE I (Sala Stemmi)

communication: MATHEMATICAL FINANCE I: Modelfree superhedging duality

speaker: Matteo Burzoni
speaker: Marco Frittelli (Università di Milano)
speaker: Marco Maggis

abstract: In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semistatic strategies. We also show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path, might be strictly greater than the upper bound of the noarbitrage prices. We therefore characterize the subset of trajectories on which this duality gap disappears and prove that it is an analytic set.

Thu 28 Jan, 9:00 - 10:30, Sala Stemmi
<< Go back