2 papers
q-fin.RM2026
Path-Space Model Risk via Signature-Induced Optimal Transport
Tomoyuki Ichiba, Qijin Shi
We propose a signature-induced, optimal transport framework for path-space model risk, in which ambiguity between stochastic path laws is factorized through optimal transport costs…
q-fin.MF2026
Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
Tomoyuki Ichiba, Qijin Shi
Built to generalise classical stochastic calculus, rough path theory provides a natural and pathwise framework to model continuous non-semimartingale assets. This paper investigate…