PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Alberto Bressan.

Title:Forward and backward martingale representations and their applications to the problem of market completeness in financial economics
Seminar:Center for Interdisciplinary Mathematics Seminar
Speaker:Dmitry Kramkov, Mellon College of Science Professor of Mathematical Finance, Carnegie Mellon University and part time Professor at the University of Oxford
Over the last 25 years there have been an explosion in the trading of financial derivatives. For instance, according to International Swaps and Derivatives Association (ISDA) the outstanding volume of Over-the-Counter Interest and Foreign Exchange derivatives was below 0.9 trn USD in 1986 and above 426 trn USD in 2009. The classical theory of valuation of derivatives was developed by Black, Scholes, and Merton in 1973 (Nobel price in Economics in 1997). It is based on the property of financial market to be complete which, from a mathematical viewpoint, is equivalent to the existence of martingale representation. When the dynamics of basis processes is given in "forward" form, that is, in terms of their local characteristics, it is easy to state general criteria for such martingale representation to hold. The situation becomes more difficult if some of these basis processes are specified in "backward" form, that is, through their terminal values. In this talk, we review some recent results in this direction.

Room Reservation Information

Room Number:MB114
Date:10 / 25 / 2013
Time:03:30pm - 04:30pm