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Non-textual Scientific Publications:

S. Källblad:
"Model-independent bounds for Asian options - a dynamic programming approach";
Publication type: Video, project: Robust Hedging and Optimal Transport / OPTTRANS; 2016.



English abstract:
A classical result of Strassen asserts that given probabilities on the real line which are in convex order, there exists a martingale coupling with these marginals. Remarkably, it is a non trivial problem to construct particular solutions to this problem. In this article, we introduce a family of such martingale couplings,
each of which admits several characterizations in terms of optimality properties / geometry of the support set / representation through a Skorokhod embedding. As one particular element of this family we recover the (left) monotone martingale transport which can be viewed as a martingale analogue of the classical monotone
rearrangement. As another canonical element of this family we identify a martingale coupling that resembles the usual product coupling and enjoys several curious properties related Lipschitz-kernels and general transport costs as recently introduced by Gozlan etal. Finally we shall consider the multi-period martingales
/ peacocks related to these couplings. (joint work with Nicolas Juillet)


Electronic version of the publication:
http://www.birs.ca/events/2016/5-day-workshops/16w5134/videos/watch/201605231203-Kallblad.html


Created from the Publication Database of the Vienna University of Technology.