[Ml-stat-talks] Jake Abernethy at theory lunch @11:45 - TODAY
schapire at CS.Princeton.EDU
Fri Oct 26 09:51:41 EDT 2012
-------- Original Message --------
Subject: [Theory-Read] Jake Abernethy at theory lunch @11:45 - TODAY
Date: Fri, 26 Oct 2012 09:30:21 -0400 (EDT)
From: Mark Braverman <mbraverm at CS.Princeton.EDU>
To: Mark Braverman <mbraverm at CS.Princeton.EDU>
CC: pvsnp-all at lists.cs.princeton.edu, theory-read at lists.cs.princeton.edu
This will be today. Note that the previous email was slightly incorrect. Lunch will be served @11:45 in CS402.
We will try to start the talk around 12:05.
See you there!
----- Original Message -----
From: "Mark Braverman" <mbraverm at CS.Princeton.EDU>
To: theory-read at lists.cs.princeton.edu, pvsnp-all at lists.cs.princeton.edu, jaber at seas.upenn.edu
Sent: Monday, October 22, 2012 11:18:55 AM
Subject: [Theory-Read] Jake Abernethy at theory lunch - Friday October 26
This week we will have Jake Abernethy speaking at theory lunch. Lunch will be served at 12 with the talk starting shortly afterwards.
See you there!
SPEAKER: Jake Abernethy, UPenn
TITLE: Minimax Option Pricing Meets Black-Scholes in the Limit
Option contracts are a type of financial derivative that allow
investors to hedge risk and speculate on the volatility of an asset's
future price. In 1973, Black and Scholes proposed a valuation model
that gives a "fair price" for an option under the assumption that the
price fluctuates according to geometric Brownian motion (GBM). Black
and Scholes provided a continuous-time trading strategy for an
investor, known as a "replication strategy" or "hedging strategy",
which allows the investor to buy and sell the asset in order to
"replicate" the option's payoff.
But why require a strong stochastic assumption on the price
fluctuations? In this talk we'll consider a new method for evaluating
the price of options and other derivatives that does not rely on the
GBM assumption. We will appeal to the no-regret setting, in which the
asset's price path may be chosen by a (constrained) adversary. We show
that the Black Scholes model is recovered even in the worse case.
Joint work with Rafael Frongillo and Andre Wibisono. A link to the
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