About

This seminar series is devoted to provide a forum for researchers mainly based in Hong Kong and Singapore to exchange ideas with leading experts in the field of Financial Mathematics and Financial Engineering. The talks usually last for an hour.

If you have found any information displayed incorrectly, please send an email to the website maintainer Bin Wang at bwang@math.cuhk.edu.hk. For researchers who have WeChat accounts, they may also scan the QR code at the bottom of the page to subscribe our WeChat account, on which we will update the seminar information concurrently.

List of Organizers by Institutions: 

• The Hong Kong Polytechnic University: Guanxing Fu, Xun Li, Zuoquan Xu, Xiang Yu.

• City University of Hong Kong : Chenchen Mou.

• The Chinese University of Hong Kong: Nan Chen, Xiaolu Tan, Chen Yang.

• The Hong Kong University of Science and Technology: Shuoqing Deng, Wei Jiang.

• National University of Singapore: Chao Zhou.

Recent and Upcoming Seminar(s)

May 25th, 2023

Speaker: Benjamin Jourdain (Ecole des Ponts ParisTech, France)

Title: Approximation of martingale couplings on the real line and stability in robust finance

Abstract: When approximating in Wasserstein distance the two marginals of a martingale coupling on the real by probability measures in the convex order, it is possible to construct a sequence of martingale couplings between these probability measures converging in adapted Wasserstein distance to the original coupling. We deduce the stability with respect to the marginal distributions of the Weak Martingale Optimal Transport problem in dimension one. As an application, we obtain the stability of the superreplication price of the VIX future. To deal with the subreplication price, we need a generalisation of our main result to extended martingale couplings with an extra parameter which enables to take into account additional information.

Date and Time: Thursday, May 25th, 2023, 4:00pm - 5:00pm, HK time.

Location: Online via Zoom 

Meeting ID: 958 9985 2810

Passcode: 3485

More upcoming talks are posted below in advance; their titles and abstracts will be updated on a closer date.

Past Seminars