3 citations · 15 across the 36 of their papers we have counts for
5 papers · 1 filter
Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models
Mathias Beiglböck, Manuel Hasenbichler, Gudmund Pammer
European option smiles determine the risk-neutral marginal laws of an asset, but not their intertemporal coupling, which is decisive for many applications. The Bass martingale cons…
A weak transport approach to the Schrödinger-Bass bridge
Manuel Hasenbichler, Gudmund Pammer, Stefan Thonhauser
We study the Schrödinger-Bass problem, a one-parameter family of semimartingale optimal transport problems indexed by , whose limiting regimes interpolate between the classica…
Implicit Regularization of Large Neural Networks via Mean-Field Formulation
Beatrice Acciaio, Jakob Heiss, Gudmund Pammer +1
We propose a mathematical framework to explain implicit regularization from early stopping during the training of overparametrized neural networks. In the mean-field limit, the par…
The geometry of the adapted Bures--Wasserstein space
Beatrice Acciaio, Daniel Bartl, Anne Grass +2
The adapted Bures--Wasserstein space consists of Gaussian processes endowed with the adapted Wasserstein distance. It can be viewed as the analogue of the classical Bures--Wasserst…
Dynamic reinsurance via martingale transport
Beatrice Acciaio, Brandon Garcia Flores, Antonio Marini +1
We formulate a dynamic reinsurance problem in which the insurer seeks to satisfy prescribed terminal moment or risk-based constraints while minimizing the -norm of the ceded r…