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.
5月25日
4pm - 5pm
地點
Zoom link: https://hkust.zoom.us/j/95 899852810?pwd=QnFvbG ZxSUZjSHBrQUFDZDJO VXg3dz09 Meeting ID: 958 9985 2810 Passcode: 3485
講者/表演者
Prof. Benjamin Jourdain
Ecole des Ponts ParisTech
Ecole des Ponts ParisTech
主辦單位
Department of Mathematics
聯絡方法
付款詳情
對象
Faculty and staff, General public, PG students, UG students
語言
英語
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