Universität Wien
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250128 VO Martingale optimal transport (2021W)

3.00 ECTS (2.00 SWS), SPL 25 - Mathematik
MIXED
Moodle

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Details

Language: English

Examination dates

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 05.10. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 12.10. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 19.10. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 09.11. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 16.11. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 23.11. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 30.11. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 07.12. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 14.12. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 11.01. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 18.01. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 25.01. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

In this highly advanced course we review recent progress in the field of optimal transport, with special emphasis on the concept of martingale transport.

Assessment and permitted materials

Minimum requirements and assessment criteria

Examination topics

Reading list

M. Beiglböck, G. Pammer, W. Schachermayer: From Bachelier to Dupire via Optimal Transport. Preprint (2021).
[arXiv:2106.12395] please download PDF from the following link: https://arxiv.org/abs/2106.12395

Backhoff J. und Huesmann M. (2021) Stochastic Mass Transport,
Preprint. Please download PDF from the following link:
https://www.mat.univie.ac.at/~schachermayer/Scripts

Association in the course directory

MSTV

Last modified: We 12.10.2022 13:29