55 citations · 71 across the 16 of their papers we have counts for
23 papers
The Gradient Flow of the Bass Functional in Martingale Optimal Transport
Julio Backhoff-Veraguas, Gudmund Pammer, Walter Schachermayer
Given and , probability measures on in convex order, a Bass martingale is arguably the most natural martingale starting with law and finishing with law …
Specific Wasserstein divergence between continuous martingales
Julio Backhoff-Veraguas, Xin Zhang
Defining a divergence between the laws of continuous martingales is a delicate task, owing to the fact that these laws tend to be singular to each other. An important idea, put for…
The Bass functional of martingale transport
Julio Backhoff-Veraguas, Walter Schachermayer, Bertram Tschiderer
An interesting question in the field of martingale optimal transport, is to determine the martingale with prescribed initial and terminal marginals which is most correlated to Brow…
Existence of Bass martingales and the martingale BenamouBrenier problem in
Julio Backhoff-Veraguas, Mathias Beiglböck, Walter Schachermayer +1
In classical optimal transport, the contributions of BenamouBrenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the bas…
The most exciting game
Julio Backhoff-Veraguas, Mathias Beiglboeck
Motivated by a problem posed by Aldous, our goal is to find the maximal-entropy win-martingale: In a sports game between two teams, the chance the home team wins is initially $x_0…
Quantitative Fundamental Theorem of Asset Pricing
Beatrice Acciaio, Julio Backhoff, Gudmund Pammer
In this paper we provide a quantitative analysis to the concept of arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets tha…