3 citations · 11 across the 32 of their papers we have counts for
3 papers · 1 filter
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 maturi…
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…
From Bachelier to Dupire via Optimal Transport
Mathias Beiglböck, Gudmund Pammer, Walter Schachermayer
Famously mathematical finance was started by Bachelier in his 1900 PhD thesis where - among many other achievements - he also provides a formal derivation of the Kolmogorov forward…