Am Donnerstag, 12. März 2009, um 11 Uhr s.t. spricht
im Hörsaal B132 über das Thema
Two applications of transport theory: fracture in "elastic" materials and optimization of financial products
Zusammenfassung: In the first part of my talk I present results on a model for fracture in a material, based on gradient flows of Young measures and methods from transport theory. The model gives a unified description of elastic behavior, damage and fracture. Mathematically similar ideas can be applied in a very different field, namely in financial methematics of more precisely in the optimization of financial products. In the second part of my talk I will explain this connection and prove that under very weak conditions optimal financial products on complete markets are co-monotone with the inverted state price density. In most cases, this implies that the payoff of an optimal financial product can simply be written as a monotone function of the market portfolio. Applications of this result will be outlined.