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

Humboldt Universität Berlin

Weierstrass Institute Berlin
Talk: Rough SDEs, Rough Semimartingales

Vienna University of Technology
Talk: On the non-Markov property: Gaussian processes and beyond

KTH Royal Institute of Technology Stockholm
Talk: Controlled measure valued martingales: a viscosity solution approach

Columbia University
Talk: Conservative Diffusions as Entropic Flows of steepest Descent

London School of Economics and Political Science
Talk: Estimation of growth in fund models

CMU -Carnegie Mellon University
Talk: "Backward martingale transport in pseudo-Euclidean spaces and Fitzpatrick functions."

University of Toronto
Talk: On the Monopolist's Problem Facing Consumers with Nonlinear Price Preferences

Imperial College
Talk: Stochastic Liquidity as a Proxy for Nonlinear Price Impact

Oxford University
Talk: OT Methodology for non-parametric calibration of financial models