| Description |
Martingales are paradigmatic stochastic processes used in probability theory and finance as models of fair financial markets with no net gain or loss. The tool of martingales has been shown to be crucial in financial analysis with fruitful applications in the context of option pricing. In physics, martingales have not been explored much yet. Over the last few years, a new martingale formulation of the non-equilibrium thermodynamics of small systems has been developed within the field of stochastic thermodynamics. This workshop will establish an interdisciplinary dialogue on the use of martingales as “skeleton key” to the fluctuating world of finance and stochastic thermodynamics, and explore novel connections between these fields.
Invited Speakers:
Giorgia Callegaro - Padua U. Shamik Gupta - Ramakrishna Mission Vivekananda U. Gonzalo Manzano - Scuola Normale, Pisa & ICTP Izaak Neri - King's College, London Fulvio Ortu - U. Bocconi, Milan Édgar Roldán - ICTP Federico Severino - USI, Lugano |
Workshop on Martingales in Finance and Physics
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09:00 - 17:15
Workshop on Martingales in Finance and Physics
Location: ROOM D, Level -1, SISSA building, ICTP Campus, via Beirut 2 -
09:00
Martingales and Finance
1h0'
Speaker: Fulvio ORTU (Bocconi University, Milan) Material: 
Abstract
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10:00
Stochastic Thermodynamics: An Emerging, Evolving Field
1h0'
Speaker: Edgar ROLDAN (ICTP) Material:
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Slides
- 11:00 Coffee break 15'
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11:15
From Martingales in Finance to Quantization for pricing
45'
Speaker: Giorgia CALLEGARO (Padova U.) Material:
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Slides
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12:00
Stochastic Thermodynamics with Martingales
45'
Speaker: Izaak NERI (King's College, London) Material:
Abstract
Slides
- 12:45 Lunch break 1h45'
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14:30
Weak Time-derivatives and Pricing Equations
45'
Speaker: Federico SEVERINO (USI, Lugano) Material:
Abstract
Slides
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15:15
Stochastic thermodynamics and martingale theory for a model physical system of particles
45'
Speaker: Shamik GUPTA (Ramakrishna Mission Vivekananda U.) Material:
Abstract
Slides
- 16:00 Coffee break 30'
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16:30
Quantum Martingale Theory for Entropy Production along Quantum Jump Trajectories
45'
Speaker: Gonzalo MANZANO (Scuola Normale, Pisa & ICTP) Material:
Abstract
Slides
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09:00
Martingales and Finance
1h0'
-
09:00 - 17:15
Workshop on Martingales in Finance and Physics
Abstract