Zobrazeno 1 - 10
of 657
pro vyhledávání: '"Martingale Optimal Transport"'
Autor:
Kassis, Georges, Macrina, Andrea
Randomized arcade processes are a class of continuous stochastic processes that interpolate in a strong sense, i.e., omega by omega, between any given ordered set of random variables, at fixed pre-specified times. Utilizing these processes as generat
Externí odkaz:
http://arxiv.org/abs/2410.16339
Autor:
Benamou, Jean-David, Chazareix, Guillaume, Hoffmann, Marc, Loeper, Grégoire, Vialard, François-Xavier
Entropic Optimal Transport (EOT), also referred to as the Schr\"odinger problem, seeks to find a random processes with prescribed initial/final marginals and with minimal relative entropy with respect to a reference measure. The relative entropy forc
Externí odkaz:
http://arxiv.org/abs/2408.09361
In this paper, we study the Entropic Martingale Optimal Transport (EMOT) problem on R. We begin by introducing the dual formulation and prove the exponential convergence of Sinkhorn's algorithm on the dual potential coefficients. Our analysis does no
Externí odkaz:
http://arxiv.org/abs/2407.14186
Given $\mu$ and $\nu$, probability measures on $\mathbb R^d$ in convex order, a Bass martingale is arguably the most natural martingale starting with law $\mu$ and finishing with law $\nu$. Indeed, this martingale is obtained by stretching a referenc
Externí odkaz:
http://arxiv.org/abs/2407.18781
We introduce an efficient computational framework for solving a class of multi-marginal martingale optimal transport problems, which includes many robust pricing problems of large financial interest. Such problems are typically computationally challe
Externí odkaz:
http://arxiv.org/abs/2406.09959
Martingale optimal transport (MOT) often yields broad price bounds for options, constraining their practical applicability. In this study, we extend MOT by incorporating causality constraints among assets, inspired by the nonanticipativity condition
Externí odkaz:
http://arxiv.org/abs/2401.15552
Akademický článek
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This paper addresses robust finance, which is concerned with the development of models and approaches that account for market uncertainties. Specifically, we investigate the Vectorial Martingale Optimal Transport (VMOT) problem, the geometry of its s
Externí odkaz:
http://arxiv.org/abs/2309.04947
Autor:
Sester, Julian
A convex duality result for martingale optimal transport problems with two marginals was established in Beiglb\"ock et al. (2013). In this paper we provide a generalization of this result to the multi-period setting.
Externí odkaz:
http://arxiv.org/abs/2305.03344
Akademický článek
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