Talks and Poster Presentations (without Proceedings-Entry):
M. Beiglböck:
"Brenier's Theorem, Martingale Optimal Transport and the Local Vol Model";
Talk: The London Mathematical Finance Seminar Series,
London Graduate School in Mathematical Finance, London, UK (invited);
2017-03-23.
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. 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.
Created from the Publication Database of the Vienna University of Technology.