3 papers
q-fin.CP2026
Beyond the Skew-Stickiness Ratio: Transport Geometry of Spot-Driven Variance Surface Dynamics
Charlie Che, Pradeepta Das
We develop a geometric theory of arbitrage-free implied variance surface dynamics. Smile dynamics are formulated as transport flows on the admissible class of static-arbitrage-free…
quant-ph2026
Faster Algorithms for Multimarginal Optimal Transport
Brandon Augustino, Yue Sun, Atithi Acharya +4
We study algorithms for approximating the multimarginal optimal transport (MOT) distance, a generalization of the classic optimal transport distance, between discrete probabili…
q-fin.MF2026
Dual Attainment in Multi-Period Multi-Asset Martingale Optimal Transport and Its Computation
Charlie Che, Tongseok Lim, Yue Sun
We establish dual attainment for the multimarginal, multi-asset martingale optimal transport (MOT) problem, a fundamental question in the mathematical theory of model-independent p…