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SUMMARY:Symmetric processes and Ocone martingales - Thorsten Rheinlander
DTSTART:20110614T153000Z
DTEND:20110614T163000Z
UID:TALK31250@talks.cam.ac.uk
CONTACT:Berestycki
DESCRIPTION:In a recent paper\, Mike Tehranchi provided a link between con
 tinuous symmetric martingales and the self-duality property of their stoch
 astic exponentials. We explore this link further by providing a characteri
 zation of Ocone martingales in terms of certain associated stochastic expo
 nentials. Moreover\, we discuss quasi self-dual processes which have recei
 ved attention in connection with semi-static hedges of barrier options. Jo
 int work with Michael Schmutz. 
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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