Talks and Poster Presentations (without Proceedings-Entry):
M. Beiglböck:
"Brenier-type results in Martingale Optimal Transport";
Talk: Seminar in Financial and Insurance Mathematics, RiskLab Switzerland,
ETH Zürich (invited);
2017-02-23
- 2017-02-24.
English abstract:
A seminal result in optimal transport is Brenier's theorem on the structure of the optimal plan for squared distance costs. We briefly review related results on the martingale version of the transport problem and connections with robust finance and the Skorokhod embedding problem. We then introduce a continuous time Brenier-type theorem for the martingale transport problem which exhibits a particularly simple functional form. Finally, we explain a link of this result with the local vol model.
Electronic version of the publication:
https://www.ethz.ch/content/specialinterest/math/risklab/en/people/guests.html?year=default&sort=name
Created from the Publication Database of the Vienna University of Technology.