Mimicking: martingales with matching marginals
Jie Yen Fan (University of Sydney)
Abstract: One School Seminar: "Mimicking: martingales with matching marginals" Jie Yen Fan (University of Sydney)
Thursday 30 March, 1-2pm Quad S249 and via Zoom - uni-sydney.zoom.us/j/84713102485
Abstract: Motivated by questions from finance, we are interested in constructing new processes from existing ones while preserving certain desired properties. In particular, starting from a martingale, we construct new martingales that have the same marginal distributions as the original process. We call this mimicking. This allows us to develop alternative (and hopefully better) models for asset price while retaining the (European) option prices. In this talk, I will give an overview of mimicking and some examples.
Mathematics
Audience: researchers in the topic
Series comments: This seminar series aims to facilitate sharing and learning about the research of our fellow staff members. Early and mid-career researchers will present a broader context of their work which should be accessible and relatable to the entire School community. Seminars will be held in-person, followed by a friendly gathering and refreshments in the SMRI common room or out on the terrace (weather permitting). Everyone is warmly invited.
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