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Probability and Computational Finance Seminar
Xiaolu Tan
Paris Dauphine University
Title: A randomisation approach for super-hedging and utility maximisation problem under transaction costs

Abstract: We consider a super-hedging and utility maximisation problem under proportional transaction cost. By a randomisation argument, we reduce the problem to the frictionless market context. This allows to generalise some classical arguments and results in the frictionless market to the case with transaction cost.

(Based on joint works with Bruno Bouchard, Shuoqing Deng and Xiang Yu.)

Date: Monday, April 23, 2018
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Johannes Muhle-Karbe