Advances in Mathematical Finance and Optimal Transport

Partially supported by: ETH Zürich, University of Vienna and Austrian Science Fund (FWF), START grant Y782 and Y1235

27 June 2022 - 30 June 2022

Scuola Normale Superiore
Talk: On some variational problems involving functions with bounded Hessian

University of Vienna
Talk: On the martingale projection of a Brownian motion given initial and terminal marginals.

Weierstrass Institute Berlin
Talk: Optimal stopping with signatures

Libera Università Internazionale degli Studi Sociali "Guido Carli"
Talk: Robust portfolio choice with sticky wages

Università degli Studi di Milano
Talk: Correlated equilibria and mean field games

University of Oxford
Course: A model-free approach to continuous-time finance

California Institute of Technology
Talk: Truth-Incentive Surveys

London School of Economics and Political Science
Talk: Rough volatility and portfolio optimisation under transaction costs

London School of Economics and Political Science
Talk: Option Markets in the Age of Robinhood (and before)

Oslo University
Talk: Fully dynamic risk measures and horizon risk