Fachvortrag in englischer Sprache

The problem of finding the bounds on exotic derivatives prices given Vanilla ones is formulated as a super-hedging problem. The dual for­mulation reduces to an original optimal transportation problem which is suitable for numerical implementation.

In the context of Lookback op­tions, standard stochastic control techniques lead to explicit solutions generalizing previous results related to the Azema-Yor solution of the Skorohod Embedding Problem. Finally, a similar approach can be developed in the context of the optimal investment problem. 

Speaker: Prof. Dr Nizar Touzi, Ecole Polytechnique, Palaiseau