Antonis Papapantoleon: Model-free bounds in finance: a journey through probability, statistics and optimization

29 maart 2021 16:00 | Zet in mijn agenda

Academics, practitioners and regulators have understood that the classical paradigm in mathematical finance, where all computations are based on a single "correct" model, is flawed. Model-free methods, were computations are based on a variety of models, offer an alternative.

In this talk, we will discuss model-free methods and bounds, starting from the improved Fr├ęchet-Hoeffding bounds and their applications in option pricing and risk management, and will present how ideas from probability, statistics, optimal transport and optimization can be applied in this field.

Antonis Papapantoleon

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