5 citations · 7 across the 4 of their papers we have counts for
7 papers
Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport
Linn Engström, Sigrid Källblad, Johan Karlsson
We introduce an efficient computational framework for solving a class of multi-marginal martingale optimal transport problems, which includes many robust pricing problems of large…
Adapted Wasserstein distance between the laws of SDEs
Julio Backhoff-Veraguas, Sigrid Källblad, Benjamin A. Robinson
We consider the bicausal optimal transport problem between the laws of scalar time-homogeneous stochastic differential equations, and we establish the optimality of the synchronous…
Controlled Measure-Valued Martingales: a Viscosity Solution Approach
Alexander M. G. Cox, Sigrid Källblad, Martin Larsson +1
We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, ca…
Martingale Benamou--Brenier: a probabilistic perspective
Julio Backhoff-Veraguas, Mathias Beiglböck, Martin Huesmann +1
In classical optimal transport, the contributions of Benamou-Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis…
Model-independent bounds for Asian options: a dynamic programming approach
Alexander M. G. Cox, Sigrid Källblad
We consider the problem of finding model-independent bounds on the price of an Asian option, when the call prices at the maturity date of the option are known. Our methods differ f…
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Sigrid Källblad
Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs ar…
Time--consistent investment under model uncertainty: the robust forward criteria
Sigrid Kallblad, Jan Obloj, Thaleia Zariphopoulou
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambig…