Special Topics in Financial Mathematics:

Winter 2018, PSTAT 262FM

Martingale Optimal Transport: Applications to Finance

Prerequisites: PSTAT 223 A-B Stochastic Calculus and Financial Modeling

TEXT:
Pierre Henry-Labordere Model-free Hedging. A Martingale Optimal Transport Viewpoint

Chapman & Hall/CRC Financial Mathematics Series, 2017.

Friday 10:00 -- 11:50 - South Hall 5607F

Jean-Pierre Fouque

Office: South Hall 5504
fouque at pstat.ucsb.edu

January 12:

No class (Final week of Fall quarter)

January 19:

Chapter 1.

January 26:

Chapter 2 (Sections 2.1.1--2.1.3).

February 2:

Chapter 2 continued (Section 2.1.4).

February 9:

Chapter 2 continued (Section 2.1.5).

February 16:

Chapter 2 continued. (Sections 2.1.6-9, Section 2.2.1).

February 23:

Chapter 2 continued (Section 2.2.2-3).

March 2:

Chapter 2 continued.

March 9:

Overview of Chapter 3.

March 16:

Section 3.4 and overview of Chapter 4.