Talks and Poster Presentations (without Proceedings-Entry):
"Pathwise super-replication via Vovk's outer measure";
Talk: Workshop on "Pathwise methods, Functional Calculus and applications in Mathematical Finance" (Thematic program: Mathematics for Risk in Finance and Energy),
WPI, Wolfgang Pauli Institute, Vienna (invited);
Since Hobson's seminal paper the connection between model-independent pricing and the skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing-hedging duality for financial derivatives which are susceptible to the Skorokhod approach. Using Vovk's approach to mathematical finance we derive a model-independent super-replication theorem in continuous time, given information on finitely many marginals. Our result covers a broad range of exotic derivatives, including lookback options, discretely monitored Asian options, and options on realized variance.
Electronic version of the publication:
Created from the Publication Database of the Vienna University of Technology.