Date: Thursday, December 08, 2011
Location: 3088 East Hall (3:00 PM to 4:00 PM)
Title: Duality and Superreplication under Model Uncertainty
Abstract: We consider the problem of superreplication under Knightian uncertainty in a discrete-time financial market. In the absence of a reference probability measure, we develop a duality theory which is based on a locally convex vector space and allows to treat measurable quantities without further topological restrictions. We obtain the existence of an optimal strategy and a duality relation between (non-equivalent) martingale measures and superreplicable claims. The continuum hypothesis plays an important role in our approach.
Speaker: Marcel Nutz
Institution: Columbia University
Event Organizer: Erhan Bayraktar act-fin-seminar-05@umich.edu
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