Beiglböck, M., Backhoff, J., Huesmann, M., Källblad, S., & Trevisan, D. (2017). Continuous time martingale optimal transport and the local vol model. In P. Friz, A. Jacquier, & J. Teichmann (Eds.), Mathematics of Quantitative Finance (pp. 59–61). MFO Mathematisches Forschungsinstitut Oberwolfach. http://hdl.handle.net/20.500.12708/41546
MFO Mathematisches Forschungsinstitut Oberwolfach, Oberwolfach, Deutschland
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Verlag:
ETH, Zürich
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Keywords:
General Earth and Planetary Sciences; General Environmental Science; Mathematics Subject Classification (2010): 91G10 91G20 91G60 91G80 60F10 60G22 34E05 60H07 60H15 60H10
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Abstract:
The workshop on Mathematics of Quantitative Finance, organised
at the Mathematisches Forschungsinstitut Oberwolfach from 26 February
to 4 March 2017, focused on cutting edge areas of mathematical finance, with an emphasis on the applicability of the new techniques and models presented by the participants.
