SMS scnews item created by Wenqi Yue at Mon 19 Aug 2019 0954
Type: Seminar
Distribution: World
Expiry: 18 Feb 2020
Calendar1: 19 Aug 2019 1700-1800
CalLoc1: Carslaw 535A
CalTitle1: On Piles of Sand and Exotic Derivatives: An Introduction to Robust Finance
Auth: wenqi@dora.maths.usyd.edu.au

MaPSS: Maths Postgraduate Seminar Series: Zacharia Issa -- On Piles of Sand and Exotic Derivatives: An Introduction to Robust Finance

Hello all,

The next MaPSS talk of this semester will be at 17:00 on Mon 19th of August in Carslaw
535.  It’s a great opportunity to meet fellow postgrads, listen to an interesting
talk, and of course get some free pizza!

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Speaker: Zacharia Issa

Title: On Piles of Sand and Exotic Derivatives: An Introduction to Robust Finance

Abstract: The field of robust finance was born in the wake of the global financial
crisis, partly due to mathematical models employed by practitioners at the time being
unable to adequately account for downside risks present in some financial assets.  One
of the key insights in this field was highlighting the link between no-arbitrage bounds
for exotic payoffs and the optimal transportation problem of Gaspard Monge, which was
first posed in 1781.  This link allowed for many of the well-established techniques in
optimal transport to be adapted for use in a financial context.

My motivation for this talk is to help give an intuition between why the problems of
financial risk management and optimal transportation are so closely related.  I will
first explain some financial concepts, followed by a discussion of the Monge-Kantorovich
optimal transport problem.  Finally, I will then show how the robust finance problem
marries these two seemingly disparate fields of research.

Note I am not assuming any understanding of financial mathematics or probability/measure
theory; although, a background in either of these two fields will be helpful.

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See you there!

Details can also be found on the school’s Postgraduate Society website:
http://www.maths.usyd.edu.au/u/MaPS/mapss.2019.html

Cheers, Wenqi


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