When approximating in Wasserstein distance the
two marginals of a martingale coupling on the
real by probability measures in the convex order,
it is possible to construct a sequence of
martingale couplings between these probability
measures converging in adapted Wasserstein
distance to the original coupling. We deduce the
stability with respect to the marginal
distributions of the Weak Martingale Optimal
Transport problem in dimension one. As an
application, we obtain the stability of the
superreplication price of the VIX future. To deal
with the subreplication price, we need a
generalisation of our main result to extended
martingale couplings with an extra parameter
which enables to take into account additional information.
25 May 2023
4pm - 5pm
Where
Zoom link: https://hkust.zoom.us/j/95 899852810?pwd=QnFvbG ZxSUZjSHBrQUFDZDJO VXg3dz09 Meeting ID: 958 9985 2810 Passcode: 3485
Speakers/Performers
Prof. Benjamin Jourdain
Ecole des Ponts ParisTech
Ecole des Ponts ParisTech
Organizer(S)
Department of Mathematics
Contact/Enquiries
Payment Details
Audience
Faculty and staff, General public, PG students, UG students
Language(s)
English
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