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CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20261012T122042Z
DTSTART:20261014T140000Z
DTEND:20261014T150000Z
SUMMARY:Probability Seminar: Huy Chau 
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}ybk-mv58092
 z-6c5s8j
DESCRIPTION:Huy Chau (University of Manchester) will speak at the Probabi
 lity seminar.\n\nTitle: A general framework for pricing and hedging unde
 r local viability\n\nAbstract: a new approach for solving the problems o
 f pricing and hedging derivatives is introduced in a general frictionles
 s market setting. The method is applicable even in cases where an equiva
 lent 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. Th
 is answers one of the questions raised by Fernholz\, Karatzas and Kardar
 as.\n\n(joint with Miklós Rásonyi - HUN-REN Alfred Renyi Institute of Ma
 thematics and Eotvos Lorand University\, Budapest\, Hungary)
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:Frank Adams 2\, Alan Turing Building\, Manchester
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