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
地點
Zoom link: https://hkust.zoom.us/j/95 899852810?pwd=QnFvbG ZxSUZjSHBrQUFDZDJO VXg3dz09 Meeting ID: 958 9985 2810 Passcode: 3485
講者/表演者
Prof. Benjamin Jourdain
Ecole des Ponts ParisTech
主辦單位
Department of Mathematics
聯絡方法
付款詳情
對象
Faculty and staff, General public, PG students, UG students
語言
英語
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