3 papers
math.PR2025
Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
Ivan Guo, Severin Nilsson, Johannes Wiesel
We extend the Benamou-Brenier formula from classical optimal transport to weak optimal transport and show that the barycentric optimal transport problem studied by Gozlan and Juill…
q-fin.MF2025
Robust Pricing and Hedging of American Options in Continuous Time
Ivan Guo, Jan Obłój
We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model u…
math.PR2025
Switching to a Green and sustainable finance setting: a mean field game approach
Anna Aksamit, Kaustav Das, Ivan Guo +2
We consider a continuum of carbon-emitting firms who seek to maximise their stock price, and a regulator (e.g., Government) who wishes for the economy to flourish, whilst simultane…