Speaker: Walter Schachermayer (University of Vienna)
Date : November 2, 2013 (Saturday)
Venue : T4, 1/F, Meng Wah Complex, University of Hong Kong
Lecture :  16:00-17:00
Drinks Reception: 17:00-18:00
Inquiry : hkqf_help@[NO-SPAM]
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The limitations of specific models of financial markets, such as the Black Scholes model, are increasingly noted. On the other hand, the model-free approach has recently gained great interest. Given the prices of plain vanilla options, this approach allows to deduce the possible prices of certain exotic options, using only the principle of no arbitrage. For example, for exotic options pertaining to the maximal price of an underlying asset during a given period, we find an interesting connection to the classical Doob inequalities pertaining to the maximal function of a martingale. These inequalities allow for a financial interpretation as a model-free super-hedge. We also present a recent general theorem, due to B. Bouchard and M. Nutz, relating martingale inequalities with pathwise superhedges.


Walter Schachermayer is a professor of mathematical finance at the University of Vienna. He studied mathematics and business administration in Vienna and Paris. He has obtained some fundamental results on the mathematical theory of arbitrage and optimal portfolio selection. In 1998 Professor Schachermayer received the Wittgenstein prize, the highest scientific distinction in Austria, endowed with over a million Euros. Other honours include Member of the Deutsche Akademie der Naturforscher Leopoldina (Germany’s National Academy of  Sciences), Doctor honoris causa at Université Paris Daupine, Nash Lecturer at Carnegie Mellon University, and Gauss Lecturer of the DMV at Frankfurt. Presently he works on transaction costs, supported by an “advanced grant” of the European Research Council of over 1.4 million Euros.

Centre for Financial Engineering, The Chinese University of Hong Kong


Centre for Financial Engineering,
4th Floor, Academic Building No. 1,
The Chinese University of Hong Kong,
Sha Tin, Hong Kong
Tel: +852 3943 9561