Dear All, You are kindly invited to attend the next Stochastic and Finance seminar. On Tuesday July 7 at 2pm (Sydney time) Jie Fan will give a talk via Zoom. Zoom link:https://uni-sydney.zoom.us/j/98563994179 Meeting ID: 985 6399 4179 Speaker: Jie Fan (Monash University) Title: From mimicking to local Brownian motions Abstract: Motivated by questions from finance, we are interested in constructing new processes from existing ones while preserving certain desired properties. For instance, constructing martingales with given marginal distributions allows us to have alternative (and hopefully better) models for asset price while retaining the (European) option prices. In this talk, I will review some results on constructing martingales with given marginal distributions, and introduce local Brownian motions, which are processes that behave locally like a Brownian motion. http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html Please feel free to forward this message to anyone who might be interested in this talk. Kind regards, Anna