Antonis Papapantoleon: Model-free bounds in finance: a journey through probability, statistics and optimization
29 March 2021 16:00 | Add to my calendar
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 Fréchet-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.