10 citations · 35 across the 17 of their papers we have counts for
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math.OC2020★ 7 cited
Portfolio optimization with a prescribed terminal wealth distribution
Ivan Guo, Nicolas Langrené, Grégoire Loeper +1
This paper studies a portfolio allocation problem, where the goal is to prescribe the wealth distribution at the final time. We study this problem with the tools of optimal mass tr…
math.PR2020
On Dynkin Games with Unordered Payoff Processes
Ivan Guo
A Dynkin game is a zero-sum, stochastic stopping game between two players where either player can stop the game at any time for an observable payoff. Typically the payoff process o…
q-fin.MF2020
Joint Modelling and Calibration of SPX and VIX by Optimal Transport
Ivan Guo, Gregoire Loeper, Jan Obloj +1
This paper addresses the joint calibration problem of SPX options and VIX options or futures. We show that the problem can be formulated as a semimartingale optimal transport probl…