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On the support of extremal martingale measures with given marginals: the countable case

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  • UserLuciano Campi
  • ClockTuesday 27 October 2015, 15:00-16:00
  • HouseCMS, MR15.

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After discussing some characterisations of extremal measures with given marginals available in the literature, going from functional analysis to combinatorics, we will turn to their martingale counter- parts whose study is related to robust pricing and hedging. In particular, we will give some sufficient and necessary conditions with a geometric and combinatorial flavour for a given set to be the support of an extremal martingale measure with pre-specified discrete marginals. Some open problems will be discussed as well. This is based on joint work with Claude Martini.

This talk is part of the Finance - Centre for Financial Research series.

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