Arbitrage and Hedging Under Model Uncertainty
Monday, December 14, 2015 - 2:25pm - 3:25pm
Parametric estimation from market data often ends up with confidence intervals instead of points, which results in uncertainty of market models. Mathematically, this uncertainty is represented by a set of probability measures that are not necessarily dominated. In this talk, we will discuss the arbitrage and hedging under non-dominated model uncertainty for various cases in discrete time. We will consider the trading strategies in which stocks are traded dynamically, and liquid options are traded statically.