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METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20230402T074304Z
DTSTART:20230426T140000Z
DTEND:20230426T150000Z
SUMMARY:Thomas Bernhardt - On the Continuity of the Root Barrier
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}k196-lfqpw6
 4i-epky36
DESCRIPTION:Thomas Bernhardt (University of Manchester) will speak in the
  Probability seminar. (in-person)\n\nSharp lower bounds of VIX call opti
 ons are famously connected to Root's solution of the Skorokhod embedding
  problem. Finding Root's solution for a given target measure involves fi
 nding a specific barrier function. Even though numerical schemes for tha
 t barrier exist\, those rely on apriori regularity assumptions like cont
 inuity and monotonicity\, which have been notoriously challenging to pro
 ve. In this talk\, we show that the barrier function in Root's solution 
 to the Skorokhod embedding problem is continuous and finite at every poi
 nt where the target measure has no atom and its absolutely-continuous pa
 rt is locally bounded away from zero.
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:Maurice Priestley Room G.108\, Alan Turing Building\, Manchester
 
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