Financial Mathematics Seminar I: “An Orlicz Space Approach to Utility Maximization: an Overview and Some Recent Developments,” Dr. Sara Biagini (LUISS Guido Carli, Rome), EA-409, 1:40PM March 26 (EN)

Dear Colleagues and Students,

You are invited to a series of five seminars on Financial Mathematics in Spring 2019. Please see the attached poster for the speaker information and schedule.

The first seminar is on 26 March 2019, Tuesday. Here is the detailed information:

Title: An Orlicz space approach to utility maximization: an overview and some recent developments
Speaker: Sara Biagini, LUISS Guido Carli, Rome, Italy
Date/Place: 26 March 2019, Tuesday, 13:40, EA-409

Abstract: Starting from the beginning of the story, we show that the Orlicz spaces duality is the right tool to tackle (non-Markovian) expected utility maximization problems when the underlying assets are non locally bounded. We give the basics on Orlicz spaces and we illustrate various results, obtained in a series of papers (B.; B. and Frittelli; B., Frittelli and Grasselli; B. and Cerny). The last of these, recently published online on Mathematical Finance, focuses on duality with weak topologies.

Bio: Sara Biagini has a degree in Mathematics (probability) from the Universiy of Pisa and a PhD in Applied Mathematics from Scuola Normale Superiore, Pisa, both summa cum laude. Her PhD thesis, Convex duality in financial theory with general semimartingales, won the 2005 Indam-Simai prize for the best Italian thesis in applied Mathematics. The various applications of convex duality: utility maximization, super replication prices, representation of risk measures and performance measures, have been the focus of her research. Lately she has been working on different problems in robust finance and insurance. As regards academic positions, she’s been assistant professor of Applied Mathematics/Mathematical Finance at Perugia and Pisa University, and now is associate professor at LUISS G. Carli, Roma. She has been visiting professor or scholar at Princeton Boston University, Oslo Academy of Science, Ecole Polytechnique de France and the LSE.