Martingale Optimal Transport and Robust Hedging in Continuous Time

The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only assumed to be a continuous function of time. The hedging problem is to construct a minimal super-hedging portfolio that consists of dynamically trading the underlying risky asset and a static position of vanilla options which can be exercised at the given, fixed maturity. The dual is a Monge-Kantorovich type martingale transport problem of maximizing the expected value of the option over all martingale measures that has the given marginal at maturity. In addition to duality, a family of simple, piecewise constant super-replication portfolios that asymptotically achieve the minimal super-replication cost is constructed

Maximal increasing sequences in fillings of almost-moon polyominoes

It was proved by Rubey that the number of fillings with zeros and ones of a given moon polyomino that do not contain a northeast chain of size $k$ depends only on the set of columns of the polyomino, but not the shape of the polyomino. Rubey's proof is an adaption of jeu de taquin and promotion for arbitrary fillings of moon polyominoes. In this paper we present a bijective proof for this result by considering fillings of almost-moon polyominoes, which are moon polyominoes after removing one of the rows. Explicitly, we construct a bijection which preserves the size of the largest northeast chains of the fillings when two adjacent rows of the polyomino are exchanged. This bijection also preserves the column sum of the fillings. We also present a bijection that preserves the size of the largest northeast chains, the row sum and the column sum if every row of the fillings has at most one 1.Comment: 18 page