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Martingale Optimal Transport

Presentation Date:

Monday, November 18, 2019

Location:

Princeton, PACM

Presentation Slides:

Contact

Mete Soner, Professor

Department of Operations Research and Financial Engineering

Princeton University

Sherrerd Hall 328, Charlton Street

Princeton, NJ 08544

Email

Office: 328 Sherrerd Hall

Phone: 609-258-5130

CV

Recent Presentations

Optimal Stopping in High-dimensions, at Hebrew University, Jerusalem, Wednesday, September 14, 2022

Synchronization in a Kuramoto Mean Field Game, at Illinois Institute of Technology, Applied Math Colloquium, Monday, November 14, 2022:

soner-kuramoto-mfg.pdf

Monte-Carlo for high-dimensional problems in quantitative finance, at 6th Asian Quantitative Finance Seminar , Friday, January 22, 2021

Trading with Impact, at SIAM Webinar, Thursday, April 16, 2020:

Trading with Impact.pdf

Video recording can be found in the SIAM web page

https://siam.zoom.us/rec/share/...

Read more about Trading with Impact

Martingale Optimal Transport, at Princeton, PACM, Monday, November 18, 2019:

Knigthian Uncertainty, at Columbia University, Thursday, October 10, 2019: