Speaker: Antonis Papapantoleon, TU Delft
Title: Model-free and data driven methods in mathematical finance
Abstract: Academics, practitioners and regulators have understood that the classical paradigm in mathematical finance, where all computations are based on a single “correct” model, is flawed. Model-free methods, were computations are based on a variety of models, offer an alternative. More recently, these methods are driven by information available in financial markets. In this talk, we will discuss model-free and data driven methods and bounds and present how ideas from probability, statistics, optimal transport and optimization can be applied in this field.