Date
Time
5 p.m.
Location
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin
Antonis Papapantoleon (TU Berlin)

Model-free bounds for multi-asset options -- improved Fréchet-Hoeffding and optimal transport approaches

We consider a multivariate random variable with known marginals and unknown dependence structure. In this talk, we will present several methods for sharpening the classical Fréchet-Hoeffding bounds on copulas by using additional, partial information on the dependence structure. Then we will discuss applications of these results for deriving bounds on option prices and portfolio Value-at-Risk in this setting of model / dependence uncertainty. We will also discuss the detection of arbitrage in multi-asset markets and model-free hedging of multi-asset derivatives.