Stochastic control and duality methods to tackle model uncertainty in finance and insurance
The goal of this three-years project is to tackle two main
problems arising in Mathematical Finance and Insurance in the
presence of model uncertainty (multiple priors), as follows.
1) Robust portfolio optimization when the assets are illiquid.
Specifically, when there is time illiquidity in the sense that assets
can be traded only at a given sequence of random times.
2) Robust Pricing and hedging of derivatives when the
underlying variables are infinite dimensional diffusions.
Examples are: forward rates in the HJMM framework or the BGM
models; and the forward mortality rate as in Bauer, Benth and
Thanks to the integrated knowhow of the proposers, the
problems will be attacked both with duality methods and through
the dynamic programming approach.
We expect both theoretical results on the solutions of such
problems and applied results on relevant financial questions.
This job comes from a partnership with Science Magazine and