Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risques

Collection Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risques

Organizer(s) Bouchard, Bruno ; Cheridito, Patrick ; Schweizer, Martin ; Touzi, Nizar

Date(s) 13/11/2017 - 17/11/2017

linked URL https://conferences.cirm-math.fr/1730.html

00:00:00 / 00:00:00

2 6

Market delay and $G$-expectations

By Yan Dolinsky

Also appears in collection : Exposés de recherche

We study duality and asymptotic of super–replication with market delay. Our main result is the link between scaling limits of delayed markets and the $G$-expectation of Peng.

Information about the video

Date of recording 14/11/2017
Date of publication 16/11/2017
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.19243803
Cite this video Dolinsky, Yan (14/11/2017). Market delay and $G$-expectations. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19243803
URL https://dx.doi.org/10.24350/CIRM.V.19243803

Domain(s)

Mathematical Finance

Bibliography

Dolinsky, Y., & Zouari, J. (2017). Market Delay and G-expectations. <arXiv:1709.09442> - https://arxiv.org/abs/1709.09442

MSC codes

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