Game Options, Dynkin Games, and Doubly Reflected BSDEs
We will present some results on superreplication of game options, optimal stopping games (Dynkin games), and Doubly Reflected Backward SDEs. We will focus on an example of a non-linear complete market model, and on an example of a non-linear incomplete market model with default.
Dr. Miryana Grigorova is currently an Assistant Professor at the Department of Statistics of the University of Warwick. She holds a Bachelor’s degree in Applied Mathematics from University Paris-Dauphine and a Master’s degree in Stochastic Modelling from University Paris-Diedrot. She was awarded a PhD degree in Applied Mathematics with an emphasis on stochastic modelling for financial applications from University Paris-Diderot. Dr. Grigorova worked as a Research Associate at Humboldt University-Berlin, at the Centre for Excellence in Risk and Insurance in Hannover, and at Bielefeld University. She held also the position of Lecturer in Financial and Actuarial Mathematics at the University of Leeds. Her recent research focuses on topics in stochastic analysis, stochastic control, optimal stopping, game theory, risk measures, and their applications to finance, economics, and insurance.