Universität Bonn

Workshop: "Optimal transport and stochastics"


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)

Schedule

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

Participants

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
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