MCFAM Seminar Series: “Model-free price bounds under dynamic option trading"
Please join us for our next seminar! This seminar will feature Julian Sester from the Nanyang Technological University, Singapore who will discuss model-free price bounds under dynamic option trading.
About the lecture
Sester and his colleagues extend discrete time semi-static trading strategies by also allowing for dynamic trading in a finite amount of options, and they study the consequences for the model-independent super-replication prices of exotic derivatives. These include duality results as well as a precise characterization of pricing rules for the dynamically tradable options triggering an improvement of the price bounds for exotic derivatives in comparison with the conventional price bounds obtained through the martingale optimal transport approach.
About the speaker
Julian Sester is a postdoctoral researcher at the Nanyang Technological University, Singapore. His research focuses on robust finance, credit risk, and machine learning applications in finance. Prior to joining the research group in Singapore, in December 2019, he completed his Ph.D. in mathematics under the supervision of Eva Lütkebohmert at the University of Freiburg.