BEGIN:VCALENDAR VERSION:2.0 PRODID:researchseminars.org CALSCALE:GREGORIAN X-WR-CALNAME:researchseminars.org BEGIN:VEVENT SUMMARY:Jie Yen Fan (University of Sydney) DTSTART:20230330T020000Z DTEND:20230330T030000Z DTSTAMP:20260423T022804Z UID:OneSchool/1 DESCRIPTION:Title: Mimicking: martingales with matching marginals\nby Jie Yen Fan (Univ ersity of Sydney) as part of OneSchool Seminar\n\nLecture held in Quad S24 9 & Online.\n\nAbstract\nOne School Seminar: \n"Mimicking: martingales wit h matching marginals" \nJie Yen Fan (University of Sydney) \n\nThursday 30 March\, 1-2pm \nQuad S249 and via Zoom - https://uni-sydney.zoom.us/j/847 13102485\n\nAbstract: Motivated by questions from finance\, we are interes ted in constructing new\nprocesses from existing ones while preserving cer tain desired properties. In\nparticular\, starting from a martingale\, we construct new martingales that have the same\nmarginal distributions as t he original process. We call this mimicking. This allows us\nto develop alternative (and hopefully better) models for asset price while retaining the\n(European) option prices. In this talk\, I will give an overview of mimicking and some\nexamples.\n LOCATION:https://researchseminars.org/talk/OneSchool/1/ END:VEVENT END:VCALENDAR