Optimal transport and martingale optimal transport, and their applications in economics and finance

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Optimal transport and martingale optimal transport, and their applications in economics and finance

수리과학부 0 3203
구분
일정 2018-08-29(수) 10:00~17:00
세미나실 27동 325호
강연자 Tongseok Lim (University of Oxford)
담당교수 *연구원
기타
Location : 27-325 (10:00~12:00, 14:00~16:00) The theory of Optimal Transport (OT) has developed rapidly during the last 30 years, partly because OT has constantly found applications in many areas, not only in mathematics, but also in economics and other social sciences. More recently a variant of OT, called Martingale Optimal Transport (MOT), has been introduced and extensively studied by mathematical finance community who observed the close connection of MOT with the model-independent robust option pricing and hedging. In this course we give a brief introduction of OT and MOT, from simple economic and financial motivations to some basic mathematical theory and open problems.
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