4 citations · 8 across the 11 of their papers we have counts for
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An Elementary Proof of the Hambly-Lyons Uniqueness Theorem
Josef Teichmann, Walter Schachermayer, Valentin Tissot-Daguette
We give a self-contained proof, in the bounded variation setting, of the Hambly--Lyons uniqueness theorem, which states that (total) signature identifies the path up to tree-like e…
Pricing with Passion: The Local Occupied Volatility (LOV) Model
Valentin Tissot-Daguette
We introduce the Local Occupied Volatility (LOV) model that sits between Dupire's local volatility and fully path-dependent dynamics. By design, the LOV model ensures automatic cal…
Cylindrical Projections of Occupied Diffusions
Valentin Tissot-Daguette, Xin Zhang
Occupied diffusions offer a Markovian framework for path-dependent dynamics by lifting the state space with a flow of occupation measures. Because this additional feature is infini…
Bid--Ask Martingale Optimal Transport
Bryan Liang, Marcel Nutz, Shunan Sheng +1
Martingale Optimal Transport (MOT) provides a framework for robust pricing and hedging of illiquid derivatives. Classical MOT enforces exact calibration of model marginals to the m…