Tid: 17 november 2011 kl 15.15-16.00.Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Antoon Pelsser, Maastricht University.
Titel: Pricing in Incomplete Markets.
Abstract: In this paper we seek to apply ideas of robustness and model ambiguity in a context of pricing derivative contracts in complete and incomplete markets. We will focus on the (simple) case with ambiguity in mean only.
First, we show that in a complete market, an agent worried about model ambiguity will choose the replicating portfolio as this will eliminate the model ambiguity completely. Hence, a perfectly rational agent that is facing model ambiguity will price risks using no-arbitrage.
Second, we show that in an incomplete market the agent will hedge as much of the risk as possible and will choose a market-consistent pricing operator.
|Sidansvarig: Filip Lindskog