On the support of extremal martingale measures

Luogo: Dipartimento di Matematica, via Sommarive, 14 - Povo (TN) - Aula Seminari

Ore 15:00

Relatore:

• Luciano Campi (Università di Verona)

Abstract:
After discussing some characterisations of extremal measures with given marginals available in the literature, going from functional analysis to combinatorics, we will turn to their martingale counterparts whose study is related to robust pricing and hedging. In particular, we will give some sufficient and necessary conditions with a geometric and combinatorial flavour for a given set to be the support of an extremal martingale measure with pre-specified discrete marginals. Some open problems will be discussed as well. This is based on joint work with Claude Martini.

Il seminario si svolge all'interno del progetto Research in Pairs "McKean-Vlasov dynamics with Lévy noise with applications to systemic risk" , L.Campi e L. Di Persio  , finanziato dal CIRM

Referente: Luca Di Persio