| Date | 2017-09-21 |
|---|---|
| Speaker | 박형빈 |
| Dept. | 서울대학교 |
| Room | 129-101 |
| Time | 16:00-17:00 |
We pursue robust approach to pricing and hedging options in quantitative finance. The super-hedging problem is to construct a minimal hedging portfolio that dominates the payoff of the option, and the hedging duality is a useful tool to express this super-hedging price. Hedging duality is closely related to the fundamental theorem of asset pricing in a large financial market. In this talk, we discuss recent developments in robust hedging duality with connection to large financial market theory.