Ilya Molchanov (University of Bern)

Symmetries of probability distributions, their geometric meaning and financial applications

The talk starts with the known put-call symmetry property and its application to semi-static hedging of barrier options. Then it is explained how to interpret this property geometrically and extend it in various ways, most importantly for the multivariate (multiasset) case that would correspond to basket and exchange options in financial language. In particular, the symmetry property for the exchange case is a weakening of the famous exchangeability property of random variables.

Joint work with Michael Schmutz (Bern)