Zobrazeno 1 - 10
of 23
pro vyhledávání: '"60G42, 49N05"'
It is well known that martingale transport plans between marginals $\mu\neq\nu$ are never given by Monge maps -- with the understanding that the map is over the first marginal $\mu$, or forward in time. Here, we change the perspective, with surprisin
Externí odkaz:
http://arxiv.org/abs/2209.14432
The increasing supermartingale coupling, introduced by Nutz and Stebegg (Canonical supermartingale couplings, Annals of Probability, 46(6):3351--3398, 2018) is an extreme point of the set of `supermartingale' couplings between two real probability me
Externí odkaz:
http://arxiv.org/abs/2108.03450
Autor:
De March, Hadrien
This paper analyzes the support of the conditional distribution of optimal martingale transport plans in higher dimension. In the context of a distance coupling in dimension larger than 2, previous results established by Ghoussoub, Kim & Lim show tha
Externí odkaz:
http://arxiv.org/abs/1805.09469
Autor:
De March, Hadrien
Based on the multidimensional irreducible paving of De March & Touzi, we provide a multi-dimensional version of the quasi sure duality for the martingale optimal transport problem, thus extending the result of Beiglb\"ock, Nutz & Touzi. Similar, we a
Externí odkaz:
http://arxiv.org/abs/1805.01757
We investigate existence of dual optimizers in one-dimensional martingale optimal transport problems. While [BNT16] established such existence for weak (quasi-sure) duality, [BHP13] showed existence for the natural stronger pointwise duality may fail
Externí odkaz:
http://arxiv.org/abs/1705.04273
Consider a multiperiod optimal transport problem where distributions $\mu_{0},\dots,\mu_{n}$ are prescribed and a transport corresponds to a scalar martingale $X$ with marginals $X_{t}\sim\mu_{t}$. We introduce particular couplings called left-monoto
Externí odkaz:
http://arxiv.org/abs/1703.10588
Autor:
Obłój, Jan, Siorpaes, Pietro
We study the structure of martingale transports in finite dimensions. We consider the family $\mathcal{M}(\mu,\nu) $ of martingale measures on $\mathbb{R}^N \times \mathbb{R}^N$ with given marginals $\mu,\nu$, and construct a family of relatively ope
Externí odkaz:
http://arxiv.org/abs/1702.08433
Autor:
De March, Hadrien, Touzi, Nizar
Martingale transport plans on the line are known from Beiglbock & Juillet to have an irreducible decomposition on a (at most) countable union of intervals. We provide an extension of this decomposition for martingale transport plans in R^d, d larger
Externí odkaz:
http://arxiv.org/abs/1702.08298
We derive sharp bounds for the prices of VIX futures using the full information of S&P 500 smiles. To that end, we formulate the model-free sub/superreplication of the VIX by trading in the S&P 500 and its vanilla options as well as the forward-start
Externí odkaz:
http://arxiv.org/abs/1609.05832
Autor:
Nutz, Marcel, Stebegg, Florian
Two probability distributions $\mu$ and $\nu$ in second stochastic order can be coupled by a supermartingale, and in fact by many. Is there a canonical choice? We construct and investigate two couplings which arise as optimizers for constrained Monge
Externí odkaz:
http://arxiv.org/abs/1609.02867