5 papers
Higher-Order Sensitivity Analysis of Wasserstein and Adapted Wasserstein Distributionally Robust Optimization Problems
Nathan Sauldubois
We investigate the higher-order expansions of the sensitivities of functionals of probability measures. Building on the work of \citeauthor{bartl2021sensitivity} \cite{bartl2021sen…
Projected McKean--Vlasov Dynamics for Entropic Weak Optimal Transport
Nathan Sauldubois, Xin Zhang
Unlike classical optimal transport, weak transport costs depend nonlinearly on the conditional law of couplings. This feature is essential in problems involving barycenter, conditi…
Model Risk Static-Hedging a Constrained Distributionally Robust Optimization approach
Nathan Sauldubois
We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open ca…
Sensitivity Analysis of Distributionally Robust BSDEs and RBSDEs
Arthur Compoint, Nathan Sauldubois, Nizar Touzi
We examine the sensitivity properties of backward stochastic differential equations and reflected backward stochastic differential equations, which naturally arise in the context o…
First order Martingale model risk and semi-static hedging
Nathan Sauldubois, Nizar Touzi
We investigate model risk distributionally robust sensitivities for functionals on the Wasserstein space when the underlying model is constrained to the martingale class and/or is…