Stochastics and Finance: Xiaolu Tan -- A C^{0,1}-functional Ito formula and its applications in finance

Dear All, 

You are kindly invited to attend the next Stochastics and Finance seminar.  On Tuesday
September 1 at 3pm (Sydney time) Xiaolu Tan will give a talk via Zoom.  Please note the
change of usual hour this semester.  

Zoom link: https://uni-sydney.zoom.us/j/96840537356 

Speaker: Xiaolu Tan (CUHK) 

Title: A C^{0,1}-functional Ito formula and its applications in finance 

Abstract: We obtain a functional (path-dependent) extension of the Ito formula for
C^{0,1} functions in Bandini and Russo (2017).  We then provide some original
applications in finance of this new formula, by considering an option replication
problem and a super-replication problem.  Joint work with Bruno Bouchard.  

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