SLIDES
Wednesday, April 25, 3:15 pm(Refreshments served at 3 pm). South Hall 5607F, UCSB.

Abstract:
The Skorokhod embedding problem amounts to stopping a Brownian motion to hit a target density; it has interesting implications for finance:
a) any solution leads to a model that is calibrated to the option prices of a given maturity and
b) it provides a rule to sell a (martingale) asset in order to achieve a prescribed wealth distribution. We concentrate on the Root Solution (hitting time of a barrier), which provides a canonical mapping of a density into a stopping region. We examine
1) the implications in terms of options on realized variance
2) new Monte Carlo schemes which confine the increments in both space and time at each time step

SLIDES PHOTOS POSTER
Thursday, April 26, 4:00PM, Corwin pavilion, UCSB.

Abstract: Option pricing puzzles the intuition; for instance the fair price of an option that pays when the market goes up does not depend on the probability the market goes up! We present and illustrate the main principles of option pricing, such as uncertainty modeling, arbitrage, completeness, risk neutrality, hedging, dominance, forward quantities, numerical methods,.... We make liberal use of toy examples to illustrate main concepts and paradoxes.