2 papers
q-fin.MF2026
Schrödinger bridges with jumps for time series generation
Stefano De Marco, Huyên Pham, Davide Zanni
We study generative modeling for time series using entropic optimal transport and the Schrödinger bridge (SB) framework, with a focus on applications in finance and energy modelin…
q-fin.MF2026
An Optimal Transport approach to arbitrage correction: application to Volatility Stress-Tests
Marius Chevallier, Stefano De Marco, Pierre-Emmanuel Lévy-dit-Vehel
We present a method based on optimal transport to remove arbitrage opportunities within a finite set of option prices. The method is notably intended for regulatory stress-tests, w…