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Probability and Computational Finance Seminar
Kim Weston
Carnegie Mellon University
Title: A superreplication result in an infinite-dimensional market

Abstract: Studying superreplication prices allows one to establish basic duality results which lay the framework for work in utility maximization. In the finite-dimensional case, these results are well-understood. In this talk, a model for a financial market with an infinite number of assets will be constructed with the aim of understanding superreplication prices. We will develop an appropriate extension of the stochastic integral and notion of admissible strategy, which will capture key properties of the finite-dimensional case. Finally, a superreplication result will be established for the infinite-dimensional case.

This talk will focus on work done by De Donno, Guasoni, Pratelli (2005) and De Donno, Pratelli (2006).

Date: Monday, April 30, 2012
Time: 5:00 pm
Location: Wean Hall 5409
Submitted by:  Dmitry Kramkov