Market delay and $G$-expectations | Vidéo | Carmin.tv

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Market delay and $G$-expectations

By Yan Dolinsky

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