Skorohod embeddings, Martingale Optimal Transport and their applications

The workshop draws on recent momentum and interdisciplinary interest in techniques related to embedding problems in probability theory. These probabilistic problems were often considered in the last 10 years due to their links with robust pricing and hedging of financial assets. Now they have been reinterpreted as a variant of the classical Monge-Kantorovitch optimal mass transportation problem (with additional martingale constraints). This sparked vivid interest from the community of analysts and led to beautiful new contributions. Our aim is to bring researchers with different backgrounds together, exchange ideas and facilitate interactions and new exciting research.

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Start date:
Monday, March 14, 2016 - 10:15
End date:
Wednesday, March 16, 2016 - 13:45