3 citations · 15 across the 36 of their papers we have counts for
6 papers · 1 filter
The Knothe-Rosenblatt distance and its induced topology
Mathias Beiglböck, Gudmund Pammer, Alexander Posch
A basic and natural coupling between two probabilities on is given by the Knothe-Rosenblatt coupling. It represents a multiperiod extension of the quantile coupling a…
Representing General Stochastic Processes as Martingale Laws
Mathias Beiglböck, Gudmund Pammer, Stefan Schrott +1
Random variables , are 'probabilistically equivalent' if they have the same law. Moreover, in any class of equivalent random variables it is easy to select canonical r…
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…
The Martingale Sinkhorn Algorithm
Manuel Hasenbichler, Benjamin Joseph, Gregoire Loeper +2
We develop a numerical method for the martingale analogue of the Benamou--Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which i…
Energy-Guided Continuous Entropic Barycenter Estimation for General Costs
Alexander Kolesov, Petr Mokrov, Igor Udovichenko +5
Optimal transport (OT) barycenters are a mathematically grounded way of averaging probability distributions while capturing their geometric properties. In short, the barycenter tas…
An extension of martingale transport and stability in robust finance
Benjamin Jourdain, Gudmund Pammer
While many questions in robust finance can be posed in the martingale optimal transport framework or its weak extension, others like the subreplication price of VIX futures, the ro…