[Vortraege] Vortragsankündigungen KW. 6

[Danijela Radosavljevic]

Sehr geehrte Fakultätsmitglieder,

anbei die Vortragsankündigungen für diese Woche, im Anhang finden Sie 
den Text auch als PDF Datei.

Mit freundlichen Grüßen

Danijela Radosavljevic

Sekretariat
Institut für Mathematik
Universität Wien
Nordbergstr. 15, UZA 4
Tel: 43 1 4277 50629
Fax: 43 1 4277 9506

*Vortrag*

*Dienstag, 7. Februar 2012, von 15:00 Uhr bis 16:00 Uhr, Seminarraum C 209*

*Vortrag im Rahmen des Seminars Finanzmathematik***

*David Hobson: "Skorokhod embeddings, the Azema-Yor and Perkins 
embeddings and model-independend bounds for the prices of Variance Swaps"*

**

Abstract:

The Skorokhod embedding problem (SEP) for Brownian motion W is, given a 
centred probability measure \mu, to find a stopping time \tau such that 
the stopped process W_\tau has law \mu. Azema and Yor and later Perkins 
gave explict solutions to the SEP with particluar optimality properties.

The robust pricing problem, is given the prices of vanilla options but 
under no further assumptions on the model, to give model independent 
prices and hedges for co-maturing exotic options.

In this talk we discuss the link between these two problems and show how 
the Azema-Yor and Perkins embeddings can be used to give bounds on the 
prices of barrier and lookback options, and also how the Perkins 
embedding leads to bounds on the prices of discretely monitored variance 
swaps.


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