Martingale Optimal Transport (minicorso, parte III) – Nizar Touzi (Ecole Polytechnique, Paris)

We provide an introduction to martingale optimal transport. In the context of the one-period version of the problem, we establish the Kantorovitch duality, we discuss the existence for the primal and the dual problems, and we provide the martingale…

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Martingale Optimal Transport (minicorso, parte II) – Nizar Touzi (Ecole Polytechnique, Paris)

We provide an introduction to martingale optimal transport. In the context of the one-period version of the problem, we establish the Kantorovitch duality, we discuss the existence for the primal and the dual problems, and we provide the martingale…

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Martingale Optimal Transport (minicorso, parte I) [orario aggiornato] – Nizar Touzi (Ecole Polytechnique, Paris)

We provide an introduction to martingale optimal transport. In the context of the one-period version of the problem, we establish the Kantorovitch duality, we discuss the existence for the primal and the dual problems, and we provide the martingale…

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