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Voraussetzungen: Stochastik 2, a basic knowledge of stochastic analysis (as taught in Stochastische Analysis) will be helpful.
Inhalt: In recent years there has been a lot of interest in connections between optimal transport and stochastic analysis. The main motivation comes from model free finance, where the aim is to derive fair prices of financial derivatives given only basic market data such as European call und put prices, but not assuming an underlying model. This problem can be elegantly solved with the help of martingale optimal transport. But the links go much deeper than that, involving Skorokhod embedding, peacocks and Kellerer’s theorem, and new perspectives on martingale inequalities. |
