------------------------------------------------------------------------ University of Vienna ------------------------------------------------------------------------ We, 29.05.2013, 17:30-18:30, Olga Taussky-Todd Raum (C 2.09) 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Beatrice Acciaio (University of Vienna and University of Perugia) http://beatrice-acciaio.net/ "Optimal Transport, Model-Independent Pricing and Trajectorial Inequalities" (Habilitation presentation) Abstract: We will illustrate the recently discovered connection between the problem of pricing financial derivatives in a model-free context and the Monge-Kantorovich optimal transport problem. Mathematically the crucial difference is that in the pricing problem the transport plans are required to be martingales. This link has already proved to be very fruitful. In particular, we will see how the duality theorem from optimal transport leads to new robust super-replication results. This dual viewpoint also provides new insights on classical martingale inequalities. For instance, we establish a (new) sharp version of the classical Doob maximal inequality. ------------------------------------------------------------------------