3 citations · 3 across the 5 of their papers we have counts for
6 papers
A posteriori error bounds for the Uncertain Volatility Model
Lokman A Abbas-Turki, Chassagneux Jean-Fran{\c c}ois, Jean-Philippe Lemor +2
We develop a posteriori primal-dual bounds for numerical approximations of European option prices in the Uncertain Volatility Model. Given a smooth candidate approximation of the v…
SBBTS: A Unified Schrödinger-Bass Framework for Synthetic Financial Time Series
Alexandre Alouadi, Grégoire Loeper, Célian Marsala +2
We study the problem of generating synthetic time series that reproduce both marginal distributions and temporal dynamics, a central challenge in financial machine learning. Existi…
Stochastic Policy Gradient Methods in the Uncertain Volatility Model
Lokman A Abbas-Turki, Jean-François Chassagneux, Jean-Fran{\c c}ois Chassagneux +4
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becom…
A PDE Derivation of the Schrödinger--Bass Bridge
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper +3
This short paper announces the main results of \cite{SBB2026}, where the Schrödinger--Bass Bridge (SBB) problem is introduced and studied in full generality. Here we provide a dire…
LightSBB-M: Bridging Schrödinger and Bass for Generative Diffusion Modeling
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper +3
The Schrodinger Bridge and Bass (SBB) formulation, which jointly controls drift and volatility, is an established extension of the classical Schrodinger Bridge (SB). Building on th…
Option pricing with linear market impact and non-linear Black and Scholes equations
Gregoire Loeper
We consider a model of linear market impact, and address the problem of replicating a contingent claim in this framework. We derive a non-linear Black-Scholes Equation that provide…