Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

In this talk I will show how to use symmetry arguments in order to derive simple and often model independent formulas for prices and hedges of typical contingent claims. The methods used here are extensions of numeraire techniques used in option pricing. We will show that this approach leads to model independent formulas for European Options; and simple methods for pricing Barrier, Lookback and Asian Options when some dynamics of the underlying asset price is specified. ( Slides)

Speaker: Jan Vecer, Columbia University