55 citations · 71 across the 16 of their papers we have counts for
4 papers · 1 filter
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…
Adapted Wasserstein distance between the laws of SDEs
Julio Backhoff-Veraguas, Sigrid Källblad, Benjamin A. Robinson
We consider the bicausal optimal transport problem between the laws of scalar time-homogeneous stochastic differential equations, and we establish the optimality of the synchronous…
On the specific relative entropy between martingale diffusions on the line
Julio Backhoff-Veraguas, Clara Unterberger
The specific relative entropy, introduced by N. Gantert, allows to quantify the discrepancy between the laws of potentially mutually singular measures. It appears naturally as the…
Dynamic Cournot-Nash Equilibrium: The Non-Potential Case
Julio Backhoff-Veraguas, Xin Zhang
We consider a large population dynamic game in discrete time where players are characterized by time-evolving types. It is a natural assumption that the players' actions cannot ant…