The third seminar in the series will be held on December 17th at 11am. Research Seminars in Mathematics Applied to Economics and Management, co-organized by ISEG Research.
The seminar will be attended by Professor Emmanuel Lepinette, from the Centre de Recherche en Mathématiques de la Décision (CEREMADE), internationally recognized for its scientific contribution.
This event represents a privileged opportunity to learn about recent research contributions of recognized international relevance.
All interested parties are invited to attend and participate in the session.
🗓️ December 17, 2025 | 11 a.m.
📍 Venue: Quelhas Amphitheater 1, ISEG
Title: Conditioning random sets with applications in finance.
Abstract: In this talk, I will introduce new notions of conditional random sets that I have developed over the past few years. These concepts provide a powerful framework for addressing problems in mathematical finance, particularly in the context of super-hedging under market incompleteness. My main motivation arises from the need to handle financial market models with transaction costs, where the classical notion of a martingale measure is no longer valid. This setting calls for a novel theoretical approach as well as the development of efficient numerical procedures. I will present several models that have been completely solved within this framework and illustrate that the proposed numerical methods perform effectively on real financial data.