Martingale Optimal Transport (and Friends)

18--19 September 2017


The workshop draws on continuing momentum and interdisciplinary interest in techniques related to embedding problems in probability theory. These probabilistic problems have been considered since late 90ties within the mathematical finance community due to their links with robust pricing and hedging of financial assets. More recently, they have been reinterpreted as a variant of the classical Monge-Kantorovitch optimal mass transportation problem with an additional martingale constraints. This sparked vivid interest from the community of analysts and led to beautiful new contributions. Our aim is to bring researchers with different backgrounds together, exchange ideas and facilitate interactions and new exciting research. We are in particular hoping to further our understanding of possible feedback of MOT results and techniques into other parts of mathematics, as well as of numerical methods for MOT and related problems.

[Logo-StJohn'sCollege] [Logo-Oxford-Man] The workshop is primarily funded by the European Research Council under the European Union's Seventh Framework Programme (FP7/2007-2013) / ERC grant agreement no. 335421. We also acknowledge generous support from the Oxford Man Institute of Quantitative Finance and St John's College.


Participation is by invitation only due to limited capacity, however there are still some spaces available. Please contact the organisers, Jan Obloj and Gaoyue Guo for more information.

Confirmed Speakers (To be confirmed)


Beatrice Acciaio

London School of Economics

Anna Aksamit

University of Oxford

Julio Backhoff Veraguas

Vienna University of Technology

Mathias Beiglboeck

Vienna University of Technology

Luciano Campi

London School of Economics

Alexander Cox

University of Bath

Marco Cuturi


Hadrien De March

Ecole Polytechnique

Shuoqing Deng

University of Paris-Dauphine

Gaoyue Guo

University of Oxford

Pierre Henry-Labordere

Societe Generale

David Hobson

University of Warwick

Martin Huesmann

University of Bonn

Nicolas Juillet

University of Strasbourg

Sigrid Kallblad

Vienna University of Technology

Christian Leonard

Paris Nanterre University

Tongseok Lim

University of Oxford

Ariel Neufeld

ETH Zurich

Dominykas Norgilas

University of Warwick

Harald Oberhauser

University of Oxford

Jan Obloj

University of Oxford

David Promel

ETH Zurich

Benjamin Robinson

University of Bath

Halil Mete Soner

ETH Zurich

Pietro Siorpaes

Imperial College London

Florian Stebegg

Columbia University

Xiaolu Tan

University of Paris-Dauphine

Johannes Wiesel

University of Oxford

Tentative Program


10:15—11:00: Coffee and Registration

11:00—11:45: Welcome and Opening Statements

11:45—12:45: Speaker 1 — (TBC)

12:45—13:45: Lunch

13:45—14:45: Speaker 2 — (TBC)

14:45—15:45: Speakers 3 & 4 — (TBC)

15:45—16:15: Coffee

16:15—17:15: Speakers 5 & 6 — (TBC)

17:15—18:15: Speaker 7 — (TBC)

19:00: Workshop Dinner


9:15—10:15: Speaker 8 — (TBC)

10:15—10:45: Coffee

10:45—11:45: Speaker 9 — (TBC)

11:45—12:45: Speakers 10 & 11 — (TBC)

12:45—13:45: Lunch

13:45—14:45: Speakers 12 & 13 — (TBC)

14:45—15:45: Speaker 14 — (TBC)

15:45—16:15: Coffee

16:15—18:15: Open Problem session & Discussion


The workshop will be held in the Oxford-Man Institute of Quantitative Finance. All talks will be in the AHL Lecture Theatre on the 3rd floor. Coffe and lunch breaks will be hosted in the adjacent conservatory. The lecture room is a great space for presentations and discussions. When delivering a talk, the speakers can either have their pdf projected on two adjacent screens, use one screen for projection and two whiteboards for further discussion or use 4 whiteboards. A laptop with a pointer will be provided.

Oxford-Man Institute


The workshop is co-organised by Gaoyue Guo (Univeristy of Oxford) and Jan Obloj (University of Oxford).