2:00 pm Monday, February 26, 2007
Internal Mathematical Finance Seminar: Hedging Bounded Claims with Bounded Outcomes by Michail Anthropelos (UT at Austin) in RLM 9.166
In a financial market with components driven by correlated Brownian Motions, we look at the problem to hedge a bounded contingent claim. Although the Representation Theorem guarantees the existence of a replicating portfolio, it is not implied that the wealth from each of the components is bounded. In other words, the set of possible final wealth, when each component is bounded, is not dense in the set of bounded claims. Instead, another (enlarged) set with this property is given. Some applications in the Theory of Coherent Risk Measures are also presented. This talk is about a recent work of Dr. Freddy Delbaen. Submitted by
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