2 citations · 2 across the 3 of their papers we have counts for
5 papers
Bass martingales need not stretch
Mathias Beiglböck, Manuel Hasenbichler, Gudmund Pammer
In classical optimal transport, the equivalence of optimality, convex gradient structure, and cyclical monotonicity is a central paradigm. Known counterexamples to this equivalence…
Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models
Mathias Beiglböck, Manuel Hasenbichler, Gudmund Pammer
European option smiles determine the risk-neutral marginal laws of an asset, but not their intertemporal coupling, which is decisive for many applications. The Bass martingale cons…
A weak transport approach to the Schrödinger-Bass bridge
Manuel Hasenbichler, Gudmund Pammer, Stefan Thonhauser
We study the Schrödinger-Bass problem, a one-parameter family of semimartingale optimal transport problems indexed by , whose limiting regimes interpolate between the classica…
The Mean Field Market Model Revisited
Manuel Hasenbichler, Wolfgang Müller, Stefan Thonhauser
In this paper, we present an alternative perspective on the mean-field LIBOR market model introduced by Desmettre et al. in arXiv:2109.10779. Our novel approach embeds the mean-fie…
The Martingale Sinkhorn Algorithm
Manuel Hasenbichler, Benjamin Joseph, Gregoire Loeper +2
We develop a numerical method for the martingale analogue of the Benamou--Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which i…