Martingale model risk
Speaker:
Nizar Touzi, New York University
Date and Time:
Thursday, September 26, 2024 - 9:30am to 10:30am
Location:
Fields Institute, Room 230
Abstract:
We consider the general framework of distributionally robust optimization under a martingale restriction. We provide explicit expressions for model risk sensitivities in this context by considering deviations in the Wasserstein distance and the corresponding adapted one. As a by-product we obtain an explicit expression for first order model risk hedging.