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Sehr geehrte Fakultätsmitglieder,<br>
<br>
anbei die Vortragsankündigungen für diese Woche, im Anhang finden
Sie den Text auch als PDF Datei.<br>
<br>
Mit freundlichen Grüßen<br>
<br>
Danijela Radosavljevic<br>
<br>
Sekretariat<br>
Institut für Mathematik<br>
Universität Wien<br>
Nordbergstr. 15, UZA 4<br>
Tel: 43 1 4277 50629<br>
Fax: 43 1 4277 9506<br>
<br>
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<p class="MsoNormal" style="text-align:justify"><b><span
style="font-family:"Times","serif";
mso-bidi-font-family:Arial">Vortrag<o:p></o:p></span></b></p>
<p class="MsoNormal"><span
style="font-family:"Times","serif";mso-bidi-font-family:Arial"><o:p> </o:p></span></p>
<p class="MsoNormal"><b style="mso-bidi-font-weight:normal"><span
style="font-family:"Times","serif";mso-bidi-font-family:Arial">Dienstag,
7.
Februar 2012, von 15:00 Uhr bis 16:00 Uhr, Seminarraum C 209<o:p></o:p></span></b></p>
<p class="MsoNormal"><b style="mso-bidi-font-weight:normal"><span
style="font-family:"Times","serif";mso-bidi-font-family:Arial;color:#0070C0">Vortrag
im
Rahmen des Seminars Finanzmathematik</span></b><b
style="mso-bidi-font-weight:
normal"><span
style="font-family:"Times","serif";mso-bidi-font-family:Arial"><o:p></o:p></span></b></p>
<p class="MsoNormal"><b style="mso-bidi-font-weight:normal"><span
style="font-family:"Times","serif";mso-bidi-font-family:Arial;mso-ansi-language:EN-GB"
lang="EN-GB">David Hobson: "Skorokhod embeddings, the
Azema-Yor and Perkins
embeddings and model-independend bounds for the prices of
Variance Swaps"<o:p></o:p></span></b></p>
<p class="MsoNormal"><b style="mso-bidi-font-weight:normal"><span
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<p class="MsoNormal"><span
style="font-size:11.5pt;font-family:"Times","serif";
mso-bidi-font-family:Arial;mso-ansi-language:EN-GB" lang="EN-GB">Abstract:
<o:p></o:p></span></p>
<p class="MsoNormal"><span
style="font-size:11.5pt;font-family:"Times","serif";
mso-bidi-font-family:Arial;mso-ansi-language:EN-GB" lang="EN-GB">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.<br>
<br>
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.<br>
<br>
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.<o:p></o:p></span></p>
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