March 9-12, 2015
HIM Lecture Hall, Poppelsdorfer Allee 45
Organizers:
Beatrice Acciaio, Martin Huesmann
Topics: Connections between optimal transport and stochastics including martingale optimal transport, peacocks, stochastic control and causal couplings among others
Speakers:
- Mathias Beiglböck (Universität Wien)
- Bruno Bouchard (Université Paris-Dauphine)
- Guillaume Carlier (Université Paris-Dauphine)
- Yan Dolinsky (Hebrew University)
- David Hobson (University of Warwick)
- Nicolas Juillet (Université de Strasbourg)
- Sigrid Källblad (École Polytechnique Paris)
- Constantinos Kardaras (LSE)
- Martin Larsson (ETH Zürich)
- Remi Lassalle (Universidade de Lisboa)
- Claude Martini (Zeliade Systems)
- Peter Mörters (Bath)
- Marcel Nutz (Columbia)
- Jan Obloj (University of Oxford)
- Walter Schachermayer (Universität Wien)
- Mete Soner (ETH Zürich)
- Florian Stebegg (Universität Wien)
- Xiaolu Tan (Université Paris-Dauphine)
- Nizar Touzi (École Polytechnique)
- Ali Üstünel (Télécom Paristech)
© HIM
Monday, March 9
| 14:30 - 15:15 | Mete Soner: FTAP and robust duality |
| 15:15 - 16:00 | Rémi Lassalle: Variations of functionals for some semi-martingale optimal transportation problems |
| 16:00 - 16:30 | Coffee break |
| 16:30 - 17:00 | Bruno Bouchard: No-arbitrage under model ambiguity and Fundamental Theorems of Assert Pricing |
| 17:00 - 17:30 | Martin Larsson: Robust pricing by informed investors |
| 17:30 - 18:00 | Sigrid Källblad: Optimal Skorokhod embedding given full marginals and application to the maximal reward function |
Tuesday, March 10
| 9:00 - 9:45 | David Hobson: Integrability of solutions of the Skorokhod embedding problem for diffusions. |
| 9:45 - 10:30 | Marcel Nutz: Robust Finance and Dual Attainment in Martingale Optimal Transport |
| 10:30 - 11:00 | Coffee break |
| 11:00 - 11:45 | Jan Obloj: On robust pricing-hedging duality with pathspace restrictions in continuous time |
| 11:45 - 12:30 | Nizar Touzi: Azema-Yor and Root embeddings under multiple-marginals constraint, and Model-free hedging |
| 12:30 - 14:15 | Lunch break |
| 14:15 - 14:45 | Florian Stebegg: Root's Embedding and Kellerer's Theorem |
| 14:45 - 15:15 | Kostas Kardaras: Targeting wealth distributions under drawdown constraints |
| 15:15 - 16:00 | Claude Martini: Martingale measures with pre-specified marginals: extremal points and perturbations |
| 16:00 - 16:30 | Coffee break |
| 16:30 - | Discussion |
| 19:00 - | „Dinner at Machold“ |
Wednesday, March 11
| 9:00 - 9:45 | Walter Schachermayer: Exponentially concave functions and multiplicative cyclical monotonicity |
| 9:45 - 10:30 | Peter Mörters: Optimal unbiased shifts of Brownian motion |
| 10:30 - 11:00 | Coffee break |
| 11:00 - 11:45 | Guillaume Carlier: A Monge-Kantorovich approach to multivariate quantile regression |
| 11:45 - 12:30 | Nicolas Juillet: Martingale transport problem and PCOCs |
| 12:30 - | Lunch break, free afternoon |
| 16:00 - 16:30 | Coffee break |
Thursday, March 12
| 9:00 - 9:45 | Ali Üstünel: Some variational problems on the Wiener space and applications |
| 9:45 - 10:30 | Yan Dolinsky: Convex Duality with Transaction Costs |
| 10:30 - 11:00 | Coffee break |
| 11:00 - 11:45 | Xiaolu Tan: On the martingale optimal transport duality in the Skorokhod space |
| 11:45 - 12:30 | Mathias Beiglböck: The Geometry of Multi-Marginal Skorokhod Embedding |
| 12:30 - 14:30 | Lunch break |
| 14:30 - 16:00 | Discussion |
| 16:00 - 16:30 | Tea and cake |
Person |
Affiliation |
Period of stay |
| Beatrice Acciaio | London School of Economics and Political Science | |
| Anna Aksamit | University of Oxford | |
| Sergey Badikov | Imperial College London | |
| Lashi Bandara | Chalmers University of Technology and University of Gothenburg | |
| Mathias Beiglböck | University of Vienna | |
| Bruno Bouchard | University Paris Dauphine | |
| Guillaume Carlier | Université Paris Dauphine, CEREMADE | |
| Fabio Cavalletti | University of Pavia | |
| Qintao Deng | Central China Normal University | |
| Yan Dolinsky | Hebrew University | |
| Ibrahim Ekren | ETH Zurich | |
| Matthias Erbar | Universität Bonn | |
| Max Fathi | Université Paris 6 | |
| Camilo Andrés García Trillos | UCL | |
| Augusto Gerolin | Università di Pisa | |
| Asma Hassannezhad | Max-Planck Institute for Mathematics | |
| David Hobson | University of Warwick | |
| Zhaoxu Hou | University of Oxford | |
| Martin Huesmann | Universität Bonn | |
| Emanuel Indrei | Carnegie Mellon University | |
| Nicolas Juillet | Université de Strasbourg | |
| Heikki Jylhä | University of Jyväskylä | |
| Kostas Kardaras | LSE | |
| Martin Kell | Max-Planck-Institute for Mathematics in the Sciences | |
| Christian Ketterer | Albert-Ludwigs-Universität Freiburg | |
| Sam Kinsley | University of Bath | |
| Yu Kitabeppu | Kyoto University | |
| Eva Kopfer | Universität Bonn | |
| Kazumasa Kuwada | Tokyo Institute of Technology | |
| Sigrid Källblad | Ecole Polytechnique Paris | |
| Sajjad Lakzian | Universität Bonn | |
| Martin Larsson | ETH Zurich | |
| Rémi Lassalle | Instituto Superior Técnico | |
| Zhen Liu | Fudan University | |
| Thibaut Lux | TU Berlin | |
| Claude Martini | Zeliade Systems | |
| Michael Munn | University of Missouri | |
| Peter Mörters | University of Bath | |
| Ariel Neufeld | ETH Zurich | |
| Marcel Nutz | Columbia University | |
| Jan Obloj | University of Oxford | |
| Xuhui Peng | Hunan Normal University | |
| Nicolas Perkowski | Université Paris Dauphine | |
| Tobias Preinerstorfer | University of Vienna | |
| David Prömel | Humboldt-Universität zu Berlin | |
| Rodolfo Rios-Zertuche | MPIM Bonn | |
| Walter Schachermayer | Universität Wien | |
| André Schlichting | Universität Bonn | |
| Nikolaus Schweizer | Universität Duisburg-Essen | |
| Pietro Siorpaes | Universität Wien | |
| H. Mete Soner | ETH Zurich | |
| Florian Stebegg | University of Vienna | |
| Asuka Takatsu | Nagoya University | |
| Xiaolu Tan | Ceremade, University of Paris Dauphine | |
| Nizar Touzi | Ecole Polytechnique | |
| Junjian Yang | University of Vienna | |
| Anastasiia Zalashko | University of Vienna | |
| Ali Süleyman Üstünel | Institut Telecom-Paristech |