65 citations · 188 across the 17 of their papers we have counts for
3 papers · 1 filter
Global Multi-Maturity SPX-VIX Calibration Beyond Markovian Stitching
Atithi Acharya, Yue Sun, Brandon Augustino +3
We develop a global martingale optimal transport framework for joint S&P 500 (SPX)-VIX smile calibration across multiple maturities, without the conditional independence that Marko…
Faster Algorithms for Multimarginal Optimal Transport
Brandon Augustino, Yue Sun, Atithi Acharya +4
We study constructive discrete multimarginal optimal transport (MOT) among distributions on points, where the cost tensor has entries. For additive accuracy $\v…
Quantum Speedups for Group Relaxations of Integer Linear Programs
Brandon Augustino, Dylan Herman, Guneykan Ozgul +5
Integer Linear Programs (ILPs) are a flexible and ubiquitous model for discrete optimization problems. Solving ILPs is \textsf{NP-Hard} yet of great practical importance. Super-qua…