7 papers
Deep-MKV-TS: Path-Dependent McKean--Vlasov Control for Financial Time Series Generation
Samer El Boustany, Théo Basseras, Samy Mekkaoui +3
We introduce Deep-MKV-TS, a path-dependent McKean-Vlasov framework for financial scenario generation. The stochastic dynamics are chosen by matching selected path and volatility fe…
The Fundamental Structure of Risk: From Characteristics to Covariance
Alexandre Alouadi, Charles-Albert Lehalle
Estimating the covariance structure of financial assets typically relies on historical returns, making risk models dependent on noisy and asset-specific time series. We propose the…
Learning Generative Dynamics with Soft Law Constraints: A McKean-Vlasov FBSDE Approach
Samer El Boustany, Samy Mekkaoui, Yadh Hafsi +2
We propose a generative framework for learning stochastic dynamics from endpoint and intermediate distributional observations. The method formulates generation as a McKean-Vlasov c…
LightSBB-M: Bridging Schrödinger and Bass for Generative Diffusion Modeling
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper +3
The Schrodinger Bridge and Bass (SBB) formulation, which jointly controls drift and volatility, is an established extension of the classical Schrodinger Bridge (SB). Building on th…
SBBTS: A Unified Schrödinger-Bass Framework for Synthetic Financial Time Series
Alexandre Alouadi, Grégoire Loeper, Célian Marsala +2
We study the problem of generating synthetic time series that reproduce both marginal distributions and temporal dynamics, a central challenge in financial machine learning. Existi…
A PDE Derivation of the Schrödinger--Bass Bridge
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper +3
This short paper announces the main results of \cite{SBB2026}, where the Schrödinger--Bass Bridge (SBB) problem is introduced and studied in full generality. Here we provide a dir…