Efficient hedging of Eurpean options with robust convex functionals.
Prof. Daniel Hernandez-HernandezCIMAT, Mexico 下午 13:30–14:30 Hongjing Hall 107 室In the context of risky assets driven by a general semimartingale, the hedging problem is formulated taking into account a penalization of the priors. A dual formulation of the problem is obtained, and the relations with stochatic optimal control are explored, using the theory of viscosity solutions.