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Market delay and $G$-expectations
Multi angle
Authors : Dolinsky, Yan (Author of the conference)
CIRM (Publisher )
60F05 - Central limit and other weak theorems
91G20 - Derivative securities
91G10 - Portfolio theory
CIRM (Publisher )
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Abstract :
We study duality and asymptotic of super–replication with market delay. Our main result is the link between scaling limits of delayed markets and the $G$-expectation of Peng.
MSC Codes : 60F05 - Central limit and other weak theorems
91G20 - Derivative securities
91G10 - Portfolio theory
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Information on the Video
Film maker : Hennenfent, GuillaumeLanguage : English Available date : 16/11/2017 Conference Date : 14/11/2017 Subseries : Research talks arXiv category : Mathematical Finance Mathematical Area(s) : Mathematics in Science & Technology ; Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 00:36:53 Targeted Audience : Researchers Download : https://videos.cirm-math.fr/2017-11-14_Dolinsky.mp4 
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Information on the Event
Event Title : Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risquesEvent Organizers : Bouchard, Bruno ; Cheridito, Patrick ; Schweizer, Martin ; Touzi, Nizar Dates : 13/11/2017 - 17/11/2017 Event Year : 2017 Event URL : https://conferences.cirm-math.fr/1730.html
Citation Data
DOI : 10.24350/CIRM.V.19243803Cite this video as: Dolinsky, Yan (2017). Market delay and $G$-expectations. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19243803 URI : http://dx.doi.org/10.24350/CIRM.V.19243803 |
See Also
- [Post-edited] Pathwise or quasi-sure towards dynamic robust framework for pricing and hedging / Author of the conference Obloj, Jan.
- [Multi angle] Rough volatility from an affine point of view / Author of the conference Cuchiero, Christa.
- [Multi angle] Affine Volterra processes and models for rough volatility / Author of the conference Larsson, Martin.
- [Multi angle] Reconstruction by optimal transport: applications in cosmology and finance / Author of the conference Loeper, Grégoire.
- [Multi angle] Viability and arbitrage under Knightian uncertainty / Author of the conference Burzoni, Matteo.
Bibliography
- Dolinsky, Y., & Zouari, J. (2017). Market Delay and G-expectations.
