3236 L 374 Mathematical Finance

The Black-Scholes model implies that financial markets are complete and all risk can be hedged by trading in the underlying asset and the risk-free rate. However, the reality is completely different: markets are usually incomplete and risk cannot be hedged perfectly. The aim of this seminar is to provide a comprehensive understanding of hedging in incomplete financial markets. We wish to study different hedging criteria, e.g. mean variance, utility-indifference, or semi-static hedging, for market models driven by Lévy processes or in stochastic volatility models.

The seminar will be based on the book: The seminar takes place at MA 744, 14:00–18:00.

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