SMS scnews item created by Anna Aksamit at Thu 2 Jul 2020 2152
Type: Seminar
Distribution: World
Expiry: 16 Jul 2020
Calendar1: 7 Jul 2020 1400-1500
CalLoc1: zoom talk
Auth: aksamit@115-69-59-10-cpe.spintel.net.au (aaks9559) in SMS-WASM

# Stochastics and Finance: Jie Fan -- From mimicking to local Brownian motions

Dear All,

You are kindly invited to attend the next Stochastic and Finance seminar.  On Tuesday
July 7 at 2pm (Sydney time) Jie Fan will give a talk via Zoom.

Meeting ID: 985 6399 4179

Speaker: Jie Fan (Monash University)
Title: From mimicking to local Brownian motions
Abstract:
Motivated by questions from finance, we are interested in constructing new
processes from existing ones while preserving certain desired properties.  For instance,
constructing martingales with given marginal distributions allows us to have alternative
(and hopefully better) models for asset price while retaining the (European) option
prices.  In this talk, I will review some results on constructing martingales with given
marginal distributions, and introduce local Brownian motions, which are processes that
behave locally like a Brownian motion.

http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html

Please feel free to forward this message to anyone who might be interested in this
talk.

Kind regards,

Anna


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