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Department seminar by Dr. Samuel Drapeau, Shanghai Jiao Tong UniversityExport this event to calendar

Thursday, November 29, 2018 — 4:00 PM EST

Computational Aspects of Robust Optimized Certainty Equivalent and Option Pricing

We present a robust extension under distribution uncertainty of optimized certainty equivalent that includes the expected shortfall. We show that the infinite dimensional optimization problem can be reduced to a finite one using transport duality methods. Some important cases such as the Expected Shortfall can even be computed explicitly and provide insights about the additional costs from distributional uncertainty.

The general result can be further applied for explicit computation of robust option price where we also provide some explicit formulas in cases of call options. We finally address dual representation of the robust optimized certainty equivalent.

This talk is based on a joint work with Daniel Bartle and Ludovic Tangpi.

Location 
M3 - Mathematics 3
Room: 3127
200 University Avenue West

Waterloo, ON N2L 3G1
Canada

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