Event Date:
Monday, April 28, 2025 - 3:30pm to 4:30pm
Event Location:
- Sobel room (SH 5607F)
Related Link:
Title: Model Risk Hedging Through Distributionally Robust Sensitivity
Abstract: Distributionally robust optimization studies the worst deviation of an evaluation functional on the Wasserstein ball centered at the model of interest. We derive explicit sensitivity analysis under marginal and martingale constraints which provide first order semi-static hedge against model risk.
January 16, 2025 - 4:23pm