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X-WR-CALNAME:Mathematical Finance
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X-WR-CALDESC:Events for Mathematical Finance
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UID:2045-1761912000-1761915600@www.math.ttu.edu
SUMMARY:A general framework for pricing and hedging under local viability
DESCRIPTION:Speaker: Prof. Huy Chau\, Dept. Mathematics\, University of Manchester \nAbstract: In this paper\, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in cases where an equivalent local martingale measure fails to exist. Our main results include a new superhedging duality for American options when wealth processes can be negative and trading strategies are subject to a cone constraint. This answers one of the questions raised by Fernholz\, Karatzas and Kardaras.
URL:https://www.math.ttu.edu/mathematicalfinance/event/seminar-date-reserved-5/
LOCATION:via Zoom
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/07/Chau-scaled-e1751898311395.jpg
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