Probability Seminar: Huy Chau
| Dates: | 14 October 2026 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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| Who is it for: | University staff |
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Huy Chau (University of Manchester) will speak at the Probability seminar.
Title: A general framework for pricing and hedging under local viability
Abstract: 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.
(joint with Miklós Rásonyi - HUN-REN Alfred Renyi Institute of Mathematics and Eotvos Lorand University, Budapest, Hungary)
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Frank Adams 2
Alan Turing Building
Manchester
