Pricing and the emergence of martingales

17.06.2020 09:30 - 09:50

Julio Backhoff-Veraguas (University of Twente)

A central subject in financial mathematics is to establish the fair price of complex financial instruments. In this talk I will explain how the modern perspective on pricing, based on the notions of trading strategies and gains/losses from trading, gives rise to a fundamental object in probability: martingales. This connection between pricing and martingale is at the core of contemporary financial mathematics.

Fakultät für Mathematik
Zoom Meeting