On Martingale Optimal Transport
On Martingale Optimal Transport
Programme
Title: On Martingale Optimal Transport
Prof Nizar Touzi
(Ecole Polytechnique)
Abstract: 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.
About the Speaker
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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