158 citations · 363 across the 23 of their papers we have counts for
5 papers · 1 filter
Duality for rectified Cost Functions
Mathias Beiglboeck, Aldo Pratelli
It is well-known that duality in the Monge-Kantorovich transport problem holds true provided that the cost function is lower semi-continuous or finitely…
A generalized dual maximizer for the Monge--Kantorovich transport problem
Mathias Beiglböck, Christian Léonard, Walter Schachermayer
The dual attainment of the Monge--Kantorovich transport problem is analyzed in a general setting. The spaces are assumed to be polish and equipped with Borel probability mea…
A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage
Mathias Beiglböck, Walter Schachermayer, Bezirgen Veliyev
We give an elementary proof of the celebrated Bichteler-Dellacherie Theorem which states that the class of stochastic processes allowing for a useful integration theory consist…
Is the minimum value of an option on variance generated by local volatility?
Mathias Beiglboeck, Peter Friz, Stephan Sturm
We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counter-example…
Transfinite Approximation of Hindman's Theorem
Mathias Beiglböck, Henry Towsner
Hindman's Theorem states that in any finite coloring of the integers, there is an infinite set all of whose finite sums belong to the same color. This is much stronger than the cor…