2 citations · 2 across the 4 of their papers we have counts for
6 papers
Mimicking Volatilities under Marginal Constraints via -Bass Martingales: A Parallel Computing Approach
Antonio Marini
We study the calibration of continuous-time martingale models to observed derivative prices via a dynamic martingale optimal transport problem that penalizes deviations from the vo…
-Bass Martingales: Optimality, Existence and Convergence
Antonio Marini
We introduce the class of -Bass martingales, extending the notion of -Bass martingales. These are martingale couplings with prescribed marginals whose transition kernels ar…
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 satisfy prescribed terminal moment or risk-based constraints while minimizing the -norm of the ceded r…
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…