3 papers
q-fin.RM2026
Adapted Law Invariance and Time-Consistent Dynamic Risk Measures
Mathias Beiglböck, Silvana M. Pesenti, Maxime Sylvestre
In static risk measurement, law invariance expresses the principle that the risk of a position should depend only on its distribution, and not on the particular probability space o…
math.PR2024
A Probabilistic View on the Adapted Wasserstein Distance
Mathias Beiglböck, Susanne Pflügl, Stefan Schrott
Causal optimal transport and adapted Wasserstein distance have applications in different fields from optimization to mathematical finance and machine learning. The goal of this art…
math.PR2024
Change of numeraire for weak martingale transport
Mathias Beiglböck, Gudmund Pammer, Lorenz Riess
Change of numeraire is a classical tool in mathematical finance. Campi-Laachir-Martini established its applicability to martingale optimal transport. We note that the results of Ca…