Title	Robust hedging of barrier options with beliefs on implied Volatility
Creator	Obłój, Jan
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2014-05-13
Description	We develop an abstract robust modelling framework accommodating as inputs market priced of options and modelling beliefs formulated in terms of pathspace restrictions. This naturally allows us to talk about robust market models. As an example we consider pricing and hedging of barrier options with beliefs about future levels of implied volatilities. We construct local volatility models which satisfy such constraints and use them to combine static and robust hedging methods. We discuss asymptotic convergence when beliefs become stronger (model specific) or weaker (model independent). Joint work with Sergey Nadtochiy.
Extent	15 minutes
Subject	Mathematics; Game theory, economics, social and behavioral sciences; Probability theory and stochastic processes; Mathematical finance
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: University of Oxford
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2014-10-29
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivs 2.5 Canada
DOI	10.14288/1.0044152
URI	http://hdl.handle.net/2429/50932
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/2.5/ca/
Aggregated Source Repository	DSpace

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