The core of the seminar is the paper "A compactness principle for bounded sequences of martingales with applications" by F. Delbaen and W. Schachermayer. The goal is to go through that paper in detail and understand and present its results, in the form of a reading group with a presentation each week. One highlight is an application which gives a proof of the optional decomposition theorem in full generality, for general (not locally bounded) semimartingales.
Participating students are expected to have good foundations in stochastic calculus and mathematical finance, at the level of the course "Mathematical Finance" taught at ETHZ in HS 23.
To obtain the credit points, you must give a 90-minute talk as well as regularly attend the seminar. The talks will be assigned during the first meeting on February 22.
The coordinator will hold a weekly office hour to answer questions.
Mondays at 13:00 in HG G32.6.
The list of talks is as follows. Details regarding what part of the paper each talk is expected to cover can be found in the email sent by the professor.
| Talk | Date | Presenter |
|---|---|---|
| Talk 1 | March 21 | Benjamin Kotlov |
| Talk 2 | March 28 | Hiroaki Horikawa |
| Talk 3 | April 11 | Patrick Edera |
| Talk 4 | April 25 | Andreas Stavropoulos |
| Talk 5 | May 2 | Jonas Gebele |
| Talk 6 | May 16 | Orlando Monsalve Rueda |
| Talk 7 | May 23 | Qingyang Zhu |
F. Delbaen and W. Schachermayer (1999), A compactness principle for bounded sequences of martingales with applications, in: R. C. Dalang, M. Dozzi and F. Russo (eds.), Seminar on Stochastic Analysis, Random Fields and Applications, Progress in Probability 45, Birkhäuser, pp. 137-173