SMRI Seminar: Guo -- Stochastic Optimal Transport in Financial Mathematics

SMRI Seminar 

’Stochastic Optimal Transport in Financial Mathematics’ 
Ivan Guo (Monash University) 

Online via Zoom 
Tuesday 22nd February 3:00-4:00pm (AEDT) 

Register:
https://uni-sydney.zoom.us/meeting/register/tZMsf-6vpzMtHtOWJ65ibhC3tDLH22r4MYtX 

Abstract: In recent years, the field of optimal transport has attracted the attention of
many high-profile mathematicians with a wide range of applications.  In this talk we
will discuss some of its recent applications in financial mathematics, particularly on
the problems of model calibration, robust finance and portfolio optimisation.  Classical
topological duality results are extended to probabilistic settings, connecting
stochastic control problems with non-linear partial differential equations and providing
interesting practical interpretations in finance.  We will also look at how numerical
methods, including machine learning algorithms, can be implemented to solve these
problems.  

Note These seminars will be recorded, including participant questions (participants only
when asking questions), and uploaded to the SMRI YouTube Channel
https://www.youtube.com/c/SydneyMathematicalResearchInstituteSMRI 

After registering, you will be sent a confirmation email ~24 hours prior to the
seminar.  

Other upcoming SMRI events can be found here:
https://mathematical-research-institute.sydney.edu.au/news-events/