Scientific Calendar Event



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

 
Go to day
  • Friday, 24 May 2019
    • 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 Slides
      • 10:00 Stochastic Thermodynamics: An Emerging, Evolving Field 1h0'
        Speaker: Edgar ROLDAN (ICTP)
        Material: Abstract Slides
      • 11:00 Coffee break 15'
      • 11:15 From Martingales in Finance to Quantization for pricing 45'
        Speaker: Giorgia CALLEGARO (Padova U.)
        Material: Abstract Slides
      • 12:00 Stochastic Thermodynamics with Martingales 45'
        Speaker: Izaak NERI (King's College, London)
        Material: Abstract Slides
      • 12:45 Lunch break 1h45'
      • 14:30 Weak Time-derivatives and Pricing Equations 45'
        Speaker: Federico SEVERINO (USI, Lugano)
        Material: Abstract Slides
      • 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'
      • 16:30 Quantum Martingale Theory for Entropy Production along Quantum Jump Trajectories 45'
        Speaker: Gonzalo MANZANO (Scuola Normale, Pisa & ICTP)
        Material: Abstract Slides