Beatrice Acciaio (ETH Zurich): Stochastic Optimal Transport in Finance

Please join us for a seminar of the Advanced Financial Technologies Laboratory (AFTLab):

Time: Thursday, October 2, 2025, 5:00pm – 6:00pm

Location: Huang 305

Speaker: Beatrice Acciaio (ETH Zurich)

Title: Stochastic Optimal Transport in Finance

Abstract: In this talk I will introduce the concepts of causal and adapted optimal transport, that originate from imposing causality constraints on couplings on path spaces. This is done in order to account for the flow of information which is encoded in the filtration. The resulting distances turn out to be suitable for the analysis of sensitivity and model misspecification in finance, as well as for many dynamic stochastic optimization problems. Some applications will be shown to illustrate their outreach, such as in market generation and optimal stopping.

Bio: Beatrice Acciaio is Professor of Mathematics at ETH Zurich since 2020. Before joining ETH, Beatrice was associate professor at the London School of Economics, and prior to that she has been part of several research groups, at the Technical University of Vienna, the University of Perugia, and the University of Vienna. Beatrice completed her PhD in 2006 under the supervision of Walter Schachermayer. Beatrice's main areas of research are mathematical finance, probability, and optimal transport. Beatrice is also member of the Council of the Bachelier Finance Society, she is Associate Editor for the SIAM Journal on Financial Mathematics, for Finance and Stochastics, for Mathematical Finance, and for the Bocconi & Springer Series on Mathematics, Statistics, Finance and Economics.