“Model independent bounds under calibration constraints: a stochastic control approach”
19/05/2011

A Research Seminar by Nizar TOUZI, Ecole Polytechnique, France



19/05/2011

“Model independent bounds under calibration constraints: a stochastic control approach”

A Research Seminar by Nizar TOUZI, Ecole Polytechnique, France

May, 19, 2011 at 12:30 pm, at La Defense EEE (Cnit), room 201

The Working Group on Risk has the pleasure to invite you  to the Research Seminar by Nizar TOUZI, Ecole Polytechnique, Palaiseau

Model independent bounds under calibration constraints: a stochastic control approach

We develop a stochastic control approach for the derivation of model independent bounds for derivatives under various calibration constraints. Unlike the previous literature, our formulation seeks the optimal no arbitrage bounds given the knowledge of the distribution at some (or various) point in time. By convex duality techniques, this problem is converted into an optimal transportation problem along controlled stochastic dynamics. We also provide precise connections with the Azema-Yor solution of the Skorohod Embedding problem, and we obtain some extensions.

For any information, please contact :
Patricia Fernandez
01 34 43 32 45

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