Dr. Jacopo Mancin (University of Munich)

Title: Robust Quadratic Hedging via G-Expectation (joint work with Francesca Biagini and Thilo Meyer-Brandid)

Abstract: In this paper we study the classical problem of Mean Variance Hedging under the G-expectation framework. Our anaylisis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a continuous financial market with two assets, where the risky one is modeled as a symmetric G-martingale. By tackling progressively larger classes of contingent claims, we are able to explicitely compute the optimal strategy under very general assumptions on the form of the contingent claim.