One School Seminar: Fan -- Mimicking: martingales with matching marginals

One School Seminar: 
"Mimicking: martingales with matching marginals" 
Jie Yen Fan (University of Sydney) 

Thursday 30 March, 1-2pm 
Quad S249 and via Zoom - https://uni-sydney.zoom.us/j/84713102485

Abstract: Motivated by questions from finance, we are interested in constructing new
processes from existing ones while preserving certain desired properties.  In
particular, starting from a martingale, we construct new martingales that have the same
marginal distributions as the original process.  We call this mimicking.  This allows us
to develop alternative (and hopefully better) models for asset price while retaining the
(European) option prices.  In this talk, I will give an overview of mimicking and some
examples.  

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Join us afterwards for SMRI afternoon tea, held Thursdays 2:00-2:45pm on the SMRI
Terrace (weather permitting, otherwise held in the SMRI Common Room - A14-04-L4.37).