5 papers
Graphical stability of set-valued integrals under measure perturbations
Tam Le
Motivated by sampling and approximation schemes arising in nonsmooth optimization, we study the stability of parameterized set-valued integrals under weak perturbations of the unde…
Unregularized limit of stochastic gradient method for Wasserstein distributionally robust optimization
Tam Le
Wasserstein distributionally robust optimization offers a framework for model fitting in machine learning under potential shifts in the data distribution. We study a regularized va…
The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims
Cyril Bénézet, Stéphane Crépey, Dounia Essaket
The dynamic hedging theory only makes sense in the setup of one given model, whereas the practice of dynamic hedging is just the opposite, with models fleeing after the data throug…
An optimal transport approach for the multiple quantile hedging problem
Cyril Bénézet, Jean-François Chassagneux, Mohan Yang
We consider the multiple quantile hedging problem, which is a class of partial hedging problems containing as special examples the quantile hedging problem (F{ö}llmer \& Leukert 1…
Comparison of Tax and Cap-and-Trade Carbon Pricing Schemes
Stéphane Crépey, Samuel Drapeau, Mekonnen Tadese
Carbon pricing has become a central pillar of modern climate policy, with carbon taxes and emissions trading systems (ETS) serving as the two dominant approaches. Although economic…