2 papers
q-fin.CP2026
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…
q-fin.MF2025
Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport
Benjamin Joseph, Gregoire Loeper, Jan Obloj
We develop a non-parametric, semimartingale optimal transport, calibration methodology for local volatility models with stochastic interest rate. The method finds a fully calibrate…