Statistics and Risk Management Seminar - 17/04/2013

Wednesday, 17 April 2013, 12.30 p.m.

Lecturer: Doutor Gonçalo dos Reis, Universidade Técnica de Berlim, Faculdade de Matemática

Title: "Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs (Forward-Backward Stochastic Differential Equations)".

Local: Room 1.5, Edifício VII
Faculdade de Ciências e Tecnologia, Quinta da Torre, Caparica

Abstract: Following work of Dupire (2005), Carr--Lee (2010) and Cox--Wang (2011) on connections between Root's solution of the Skorokhod embedding problem, free boundary PDEs and model-independent bounds on options on variance we propose an approach with viscosity solutions. Besides extending the previous results, it gives a link with reflected FBSDEs as introduced by El Karoui et. al. (1997) and allows for easy convergence proofs of numerical schemes via the Barles--Souganidis (1991) method.  (see arXiv:1301.3798)