This Week in Mathematics


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Thursday March 18, 2021

Financial Mathematics Seminar [url]
Martingale Optimal Transport in Robust Finance
- David Proemel, University of Mannheim
Time: 3:05pm Room: fsu.zoom.us/j/97820191506
Abstract/Desc: In the analysis of the financial crises 2008, risk caused by financial modelling was identified as one of the main challenges. In order to reduce the model risk, we discuss an economically justified and modelindependent approach to finance. Without assuming any underlying probabilistic price dynamics, we aim to recover a fundamental result from classical mathematical finance: the pricing-hedging duality. For this purpose we study the corresponding martingale optimal transport problem in detail. We obtain a dual representation of the Kantorovich functional (super-hedging functional) defined for functions (financial derivatives) on the Skorokhod space using quotient sets (hedging sets). Our representation takes the form of a Choquet capacity generated by martingale measures satisfying additional constraints to ensure compatibility with the quotient sets. The talk is based on a joint work with Patrick Cheridito, Matti Kiiski and H. Mete Soner.

Thursday March 25, 2021

Financial Mathematics Seminar [url]
Principal-Agent model in insurance: from discrete to continuous-time
- Nicolás Hernández-Santibanez, Universidad de Chile
Time: 3:05pm Room: fsu.zoom.us/j/97820191506
Abstract/Desc: In this talk we present a contracting problem between anvinsurance buyer and the seller, subject to prevention efforts in thevform of self-insurance and self-protection. We start with a static formulation, corresponding to an optimization problem with variational inequality constraint, and extend the main properties of the optimal contract to the continuous-time formulation, corresponding to a stochastic control problem in weak form under non-singular measures.

Thursday April 01, 2021

Financial Mathematics Seminar [url]
TBD
- Hubeyb Gurdogan, FSU
Time: 3:05pm Room: fsu.zoom.us/j/97820191506
Abstract/Desc: TBD

Thursday April 08, 2021

Financial Mathematics Seminar [url]
TBD
- Kasper Larsen, Rutgers University
Time: 3:05pm Room: fsu.zoom.us/j/97820191506
Abstract/Desc: TBD

Thursday April 15, 2021

Financial Mathematics Seminar [url]
TBD
- Song Yao, University of Pittsburgh
Time: 3:05pm Room: fsu.zoom.us/j/97820191506
Abstract/Desc: TBD

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Department of Mathematics

This Week in Mathematics