Abstract: This talk will be a unified overview of some recent contributions in financial mathematics. The financial topics are option pricing with market impact and model calibration. The mathematical tools are fully non-linear partial differential equations and semi-martingale optimal transport. Some new and fun results will be a Black-Scholes-Legendre formula for option pricing with market impact, a Measure Preserving Martingale Sinkhorn algorithm for martingale optimal transport, and a lognormal version of the Bass Martingale.
Black and Scholes, Legendre and Sinkhorn
09.11.2023 16:30 - 17:30
Location: