SMS scnews item created by Hannah Bryant at Tue 21 Mar 2023 1616
Type: Seminar
Modified: Wed 22 Mar 2023 1048
Distribution: World
Expiry: 30 Mar 2023
Calendar1: 30 Mar 2023 1300-1400
CalLoc1: Quad S249
CalTitle1: Mimicking: martingales with matching marginals
Auth: (hbry8683) in SMS-SAML

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 -

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


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).

ball Calendar (ICS file) download, for import into your favourite calendar application
ball UNCLUTTER for printing
ball AUTHENTICATE to mark the scnews item as read
School members may try to .