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On Q-Optimal Signed Martingale Measures - Slides

On Q-Optimal Signed Martingale Measures - Slides

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Published by: TraderCat Solaris on Jun 25, 2010
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08/01/2010

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On
-Optimal Signed Martingale Measuresin Exponential evy Models
Christina Niethammer
(joint work with C.Bender)
University of Giessen/HypoVereinsbank Munich
Christina.Niethammer@math.uni-giessen.dewww.uni-giessen.de/
gc1200
September 20, 2007, Vienna
Christina Niethammer (Uni Gießen/HVB)
-Optimal Signed Martingale MeasuresSeptember 20, 2007, Vienna 1 / 25
 
Overview
Dynamic and Static Problem
Dynamic Problem:
ξ
) = sup
∈W 
)
[
(
)]
Static: sup
Θ
(2
m
)
,
˜
[
(
)]
Dual: sup
0
,
∈D
a
[ˇ
(
yZ 
) + ˜
x
]where
) =
{
|
= ˜
+
 
0
NdS 
,
A
,
K
}
Θ
(
)
,
˜
=
{
L
(
)
,
D
a
(
)
˜
}
, ˜
R
.
Christina Niethammer (Uni Gießen/HVB)
-Optimal Signed Martingale MeasuresSeptember 20, 2007, Vienna 3 / 25

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