April 8, 2021

Pricing and hedging of options in non-linear incomplete financial market models

Abstract: We will study the superhedging price (and superhedging strategies) of European and American options in non-linear incomplete market models with default, with a particular focus on the case of the American options which is more involved. We will provide a dual representation of the seller’s (superhedging) price for the American option in terms of a mixed stochastic control/stopping problem with non-linear expectation/evaluations, and in terms of non-linear Reflected BSDEs with constraints. If time permits, we will also present a duality result for the buyer’s price in terms of a stochastic game of control and stopping with non-linear expectation/evaluations. 

Date: Thursday, 8th April 2021

Time: 15:00 GMT

Speaker: Dr. Miryana Grigorova (School of Mathematics, University of Leeds, UK)

Short biography of Speaker:

Dr. Miryana Grigorova is a Lecturer in Financial and Actuarial Mathematics at the School of Mathematics, University of Leeds. Her research interests lie at the interface of probability theory, stochastic analysis, mathematical finance and actuarial science. She holds an MSc degree from the University Paris-Dauphine and a PhD degree in Applied Mathematics from the University of Paris.

Dr. Grigorova worked as a Research Associate at Humboldt University-Berlin, the Centre for Excellence in Risk and Insurance in Hannover, and at Bielefeld University, before joining the University of Leeds. Currently, she is the Programme Director of the MSc Financial Mathematics at the University of Leeds, and the Liaison Manager between the Business School and the School of Mathematics.

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