4 papers
Fixed Points for the -Bass Martingale: Existence, Stability, and Convergence
Beatrice Acciaio, Antonio Marini
We establish existence, uniqueness, stability, and convergence results for one-dimensional -Bass martingales, characterized as the martingales with prescribed initial and termin…
Existence of -Bass martingales in the semidiscrete setting
Beatrice Acciaio, Antonio Marini
The class of -Bass martingales provides a natural answer to a central question in martingale optimal transport: how to construct martingales with prescribed initial and terminal…
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 control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using tech…
Calibration of the Bass Local Volatility model
Beatrice Acciaio, Antonio Marini, Gudmund Pammer
The Bass local volatility model introduced by Backhoff-Veraguas, Beiglböck, Huesmann, and Källblad is a Markov model perfectly calibrated to vanilla options at finitely many maturi…