Super-replication in fully incomplete markets
Prof Ariel Neufeld,
Date:
30 Apr 2019
Time:
2pm – 3pm
Venue:
Seminar Room 2 (S17-04-05)
Open to all Math students. Interested, please register via https://mysurvey.nus.edu.sg/EFM/se/543BE5C2479CA514
About the Speaker
Prof Ariel Neufeld is a tenure-track Nanyang Assistant Professor at the Division of Mathematical Sciences at the School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore. He did his PhD at ETH Zurich and Columbia University in mathematics with emphasize on model uncertainty in financial markets under the supervision of Prof. Martin Schweizer (ETH Zurich) and Prof. Marcel Nutz (Columbia University) where he graduated from ETH Zurich in 2015. Then he continued as a PostDoc at ETH Zurich in the Department of Mathematics and at the RiskLab in the groups of Prof. Halil Mete Soner, Prof. Patrick Cheridito, and Prof. Arnulf Jentzen.
His research focuses on:
-Machine Learning Algorithms in Finance and Insurance
-Model Uncertainty in Financial Markets
-Annuity Contract Theory
-Financial & Insurance Mathematics
-Stochastic Analysis & Stochastic Optimal Control
Abstract
In this talk we introduce the notion of fully incomplete markets. We provide two families of fully incomplete models: stochastic volatility models and rough volatility models. We prove that for fully incomplete markets the super-replication price coincide with the model-free super-replication price. Namely, the knowledge of the model does not reduce the super-replication price. In addition, if the claim is Markovian, then the optimal super-replication in fully incomplete markets is of buy-and-hold type.This talk is based on joint work with Yan Dolinsky
