No próximo dia 17 de dezembro, às 11h, realiza-se o terceiro seminário da série Research Seminars in Mathematics Applied to Economics and Management, co-organizado pela ISEG Research.
O seminário conta com a participação do Professor Emmanuel Lepinette, do Centre de Recherche en Mathématiques de la Décision (CEREMADE), reconhecido internacionalmente pelo seu contributo científico.
Este evento representa uma oportunidade privilegiada para conhecer contributos recentes de investigação de reconhecida relevância internacional.
Todos/as os/as interessados/as são convidados a assistir e a participar na sessão.
🗓️ 17 dezembro 2025 | 11h
📍 Local: Anfiteatro 1 do Quelhas, ISEG
Título: 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need to handle financial market models with transaction costs, where the classical notion of a martingale measure is no longer valid.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.