Adapted Wasserstein distance for robust finance
Session Date & Time : 5D (Aug.25, 15:30-17:10)
Type : Proposal of Minisymposium
Abstract : The minisymposium brings together scientists working on the developments of new transport distances suited for the analysis of financial markets in case of model uncertainty. The four talks illustrate the powerful use of newly
developed tools in optimal transport, and in particular of the Adapted Wasserstein distance, to tackle crucial problems in finance, such as robustness of optimal decision making to model misspecification.
Organizer(s) : Beatrice Acciaio
Sponsor : This session is sponsored by the SIAM Activity Group on Financial Mathematics and Engineering.