Graduate Students
Graduate Programs     
Graduate Home Ph D Programs Masters Degree Ph D Program Requirements Course Descriptions Current Courses Admissions Current Graduate Students Graduate Student Seminar SIAM Chapter Seminar Recent Graduates Incoming Students

Apply Now
Graduate Seminar

Yangxi Ou
Carnegie Mellon University
Title: A Financial Analyst Talks About Optimal Martingale Transport

Abstract: Optimal transport has long been an interesting problem since Monge brought it up in the 18th century. However, it is not until the recent years that mathematicians have realized its potential in pricing complex financial derivatives with minimal assumptions. In this talk, we first recast the "plain vanilla" optimal transport problem in a two-period financial model abstracted from realistic observations, and gives a natural understanding of the famous Kantorovich Duality Formula in terms of lower bounds of prices and sub-replication. Taking security trading into account, we can impose the martingality restrictions on the transport plan. With this financial intuition, the duality formula of the new problem is convincing. We then give a proof of Strassen's theorem, thus asserting the existence of martingale transport. Finally, important or fun facts about optimal martingale transport are stated to compare with the "plain vanilla" version, and we gives some directions of extensions under active research.

Date: Tuesday, September 6, 2016
Time: 5:30 pm
Location: Wean Hall 8220
Submitted by:  Yangxi Ou
Note: Video on Youtube: available within 24 hours after the talk