Talks and Poster Presentations (without Proceedings-Entry):

M. Beiglböck:
"Continuous time martingale transport and the local volatility model";
Talk: Oberwolfach Workshop "Mathematics of Quantitative Finance", Oberwolfach, Deutschland (invited); 2017-02-26 - 2017-03-04.

English abstract:
We start by recalling the special role of the local vol model: Given a peacock, that is, a family of distributions (”t)t∈[0,1] which increases in convex order and for which t 7→ ”t is weakly continuous, there exists a unique (almost) continuous Markov martingale (Mt)t∈[0,1] such that Mt ∼ ”t, t ∈ [0, 1].
Arguably, this martingale (i.e. the local vol model in financial terms) is a most natural martingale with the prescribed marginals.
Question 1. Given two marginals ” ≺c ν, does there exist a `naturalŽ martingale (Mt)t∈[0,1] such that M0 ∼ ”, M1 ∼ ν?

Electronic version of the publication:

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