Speaker: Prof. Dr. Stefan Ankirchner (Professor of Stochastic Analysis, Institute of Mathematics, Friedrich-Schiller-University, Germany) Abstract: In this talk we will see that every one-dimensional continuous regular strong Markov process can be approximated with coin tossing Markov chains. In particular, it is possible to approximate an SDE with an irregular diffusion coefficient with such Markov chains. We also discuss the numerical approximation
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
Abstract: In this talk, we study a class of reflected backward stochastic differential equations (BSDEs) of mean-field type, where the mean-field interaction in terms of the expected value E[Y ] of the Y-component of the solution enters both the driver and the lower obstacle. We consider the case where the lower obstacle is a deterministic
Abstract: We study option prices in financial markets where the risky asset prices are modelled by jump diffusions. For simplicity, we put the risk-free asset price equal to 1. Such markets are typically incomplete, and therefore there are in general infinitely many arbitrage-free option prices in these markets. We consider in particular European options with
Abstract: Graphs are everywhere in mathematics if only we know how to identify these structures. The theory of graphs and the theory of knots have enjoyed a symbiotic relationship since the inception of knot theory. In this talk, we give a formal definition of a graph followed by a few examples. We also give a
English