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SUMMARY:On the support of extremal martingale measures with given marginal
 s: the countable case - Luciano Campi
DTSTART:20151027T150000Z
DTEND:20151027T160000Z
UID:TALK61395@talks.cam.ac.uk
CONTACT:14008
DESCRIPTION:After discussing some characterisations of extremal measures w
 ith given marginals available in the literature\, going from functional an
 alysis to combinatorics\, we will turn to their martingale counter- parts 
 whose study is related to robust pricing and hedging. In particular\, we w
 ill give some\nsufficient and necessary conditions with a geometric and co
 mbinatorial flavour for a given set to be the support of an extremal marti
 ngale measure with pre-specified discrete marginals. Some open problems wi
 ll be discussed as well.\nThis is based on joint work with Claude Martini.
 \n
LOCATION:CMS\, MR15
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