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On the support of the extremal martingale measures with given marginals

26 April 2016 at 12:00 PM - 1:30 PM

Room 207, Campus on Viale Romania, 32

Speaker: Luciano Campi, London School of Economics

Abstract: After discussing some characterisations of extremal measures with given marginals available in the literature, going from functional analysis to combinatorics, we will turn to their martingale counter-parts whose study is related to robust pricing and hedging. In particular, we will give some sufficient and necessary conditions with a geometric and combinatorial flavour for a given set to be the support of an extremal martingale measure with pre-specified discrete marginals. Some open problems will be discussed as well. This is based on a joint project with Claude Martini.