3 papers
math.PR2026
Existence of -Bass martingales in the semidiscrete setting
Beatrice Acciaio, Antonio Marini
The class of -Bass martingales provides a natural answer to a central question in martingale optimal transport: how to construct martingales with prescribed initial and terminal…
q-fin.RM2026
Dynamic reinsurance via martingale transport
Beatrice Acciaio, Brandon Garcia Flores, Antonio Marini +1
We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using tech…
q-fin.MF2025
Calibration of the Bass Local Volatility model
Beatrice Acciaio, Antonio Marini, Gudmund Pammer
The Bass local volatility model introduced by Backhoff-Veraguas, Beiglböck, Huesmann, and Källblad is a Markov model perfectly calibrated to vanilla options at finitely many matu…