Webinar: Sigrid Källblad Nordin (KTH)

The second webinar of the Spring term is given by Sigrid Källblad Nordin (KTH) :

When: Friday May 12, 2023, 11.00 – 11.45

Where: Zoom https://stockholmuniversity.zoom.us/j/68624941912

Titel: Mathematical Finance, Measure-Valued Martingales, and Martingale Optimal Transport

Abstract: In this talk we give an overview of some intertwined probabilistic problems which arise due to their relevance within mathematical finance. More precisely, we will see how questions related to pricing and hedging in financial markets — when acknowledging uncertainty about how to accurately model that market — are linked to the following problems: optimal transport problems under martingale constraints, stochastic control problems featuring measure-valued martingales, and adapted notions of distances between stochastic processes. We’ll discuss some recent results in those areas and also point out some open problems.