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On Martingale Optimal Transport
Date: 24 May 2023 (Wednesday)
Time: 10:00am to 12:00pm
Venue: I³ Building, 21 Heng Mui Keng Terrace Level 4 Executive Seminar Room
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In this mini-lecture, we review the main results about martingale optimal transport. We start with its motivation from robust hedging in finance, then we develop the corresponding dual formulation and the dual attainability, and we derive the martingale version of the Brenier theorem. We conclude with some connections with the Lions planning problem in mean field games.
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Prof Nizar Touzi is Professor of Applied Mathematics at Ecole Polytechnique since 2006. He was previously Chair Professor at Imperial College London. He was an invited session speaker at the International Congress of Mathematicians (Hyderabad 2010). He received the Louis Bachelier prize of the French Academy of Sciences in 2012, and the Paris Europlace prize of Best Young Researcher in Finance in 2007. In 2010, he held the University of Toronto Dean's Distinguished Chair position. He is Co-editor and Associate Editor in various international journals in the fields of financial mathematics, applied probability, and control theory.
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For more information on all our workshops & seminars,
please visit Risk Management Institute website.
For enquiries, please contact Sinta at sinta@nus.edu.sg.
Kindly note that recordings and presentation materials will not be made available after the event.
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