[Ml-stat-talks] Jake Abernethy at theory lunch @11:45 - TODAY

Robert Schapire 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!
Mark

----- 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

Hi All,

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!
Mark

LOCATION: CS402

SPEAKER: Jake Abernethy, UPenn

TITLE:       Minimax Option Pricing Meets Black-Scholes in the Limit

ABSTRACT:

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
paper: http://goo.gl/tFKRH


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