Dear All, You are kindly invited to attend the next Stochastics and Finance seminar. On Tuesday September 1 at 3pm (Sydney time) Xiaolu Tan will give a talk via Zoom. Please note the change of usual hour this semester. Zoom link: https://uni-sydney.zoom.us/j/96840537356 Speaker: Xiaolu Tan (CUHK) Title: A C^{0,1}-functional Ito formula and its applications in finance Abstract: We obtain a functional (path-dependent) extension of the Ito formula for C^{0,1} functions in Bandini and Russo (2017). We then provide some original applications in finance of this new formula, by considering an option replication problem and a super-replication problem. Joint work with Bruno Bouchard. http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html Please feel free to forward this message to anyone who might be interested in this talk. Kind regards, Anna