When approximating in Wasserstein distance the

two marginals of a martingale coupling on the

real by probability measures in the convex order,

it is possible to construct a sequence of

martingale couplings between these probability

measures converging in adapted Wasserstein

distance to the original coupling. We deduce the

stability with respect to the marginal

distributions of the Weak Martingale Optimal

Transport problem in dimension one. As an

application, we obtain the stability of the

superreplication price of the VIX future. To deal

with the subreplication price, we need a

generalisation of our main result to extended

martingale couplings with an extra parameter

which enables to take into account additional information.

5月25日
4:00pm - 5:00pm
地点
Zoom link: https://hkust.zoom.us/j/95 899852810?pwd=QnFvbG ZxSUZjSHBrQUFDZDJO VXg3dz09 Meeting ID: 958 9985 2810 Passcode: 3485
讲者/表演者
Prof. Benjamin Jourdain
Ecole des Ponts ParisTech
主办单位
Department of Mathematics
联系方法
付款详情
对象
Faculty and staff, General public, PG students, UG students
语言
英语
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