Stochastic control and duality methods to tackle model uncertainty in finance and insurance

Employer
LUISS Guido Carli
Location
Italy
Posted
August 21 2017
Position Type
Full Time
Organization Type
Academia

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

Kiesel (2012).

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.



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