12 citations · 35 across the 14 of their papers we have counts for
5 papers · 1 filter
Computational methods for adapted optimal transport
Stephan Eckstein, Gudmund Pammer
Adapted optimal transport (AOT) problems are optimal transport problems for distributions of a time series where couplings are constrained to have a temporal causal structure. In t…
Limits of random walks with distributionally robust transition probabilities
Daniel Bartl, Stephan Eckstein, Michael Kupper
We consider a nonlinear random walk which, in each time step, is free to choose its own transition probability within a neighborhood (w.r.t. Wasserstein distance) of the transition…
Robust pricing and hedging of options on multiple assets and its numerics
Stephan Eckstein, Gaoyue Guo, Tongseok Lim +1
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-margin…
Extended Laplace Principle for Empirical Measures of a Markov Chain
Stephan Eckstein
We consider discrete time Markov chains with Polish state space. The large deviations principle for empirical measures of a Markov chain can equivalently be stated in Laplace princ…
Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
Daniel Bartl, Michael Kupper, Thibaut Lux +2
Motivated by applications in model-free finance and quantitative risk management, we consider Fréchet classes of multivariate distribution functions where additional information on…