Related papers: Martingale Optimal Transport and Robust Hedging in…
We consider a semimartingale market model when the underlying diffusion has a singular volatility matrix and compute the hedging portfolio for a given payoff function. Recently, the representation problem for such degenerate diffusions with…
In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale Schr\"odinger bridge Q*; that is, the minimal-entropy martingale measure among…
We analyze controlled mass transportation plans with free end-time that minimize the transport cost induced by the generating function of a Lagrangian within a bounded domain, in addition to costs incurred as export and import tariffs at…
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strategy is find to hedge in mean-variance…
We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…
Stability of the value function and the set of minimizers w.r.t. the given data is a desirable feature of optimal transport problems. For the classical Kantorovich transport problem, stability is satisfied under mild assumptions and in…
A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities: (i) The optimal terminal wealth $X^*(T) : = X_{\varphi^*}(T)$ of the problem to maximize the expected $U$-utility…
We consider a stochastic transportation problem between two prescribed probability distributions (a source and a target) over processes with general drift dependence and with free end times. First, and in order to establish a dual…
We study dynamical optimal transport of discrete time systems (dDOT) with Lagrangian cost. The problem is approached by combining optimal control and Kantorovich duality theory. Based on the derived solution, a first order splitting…
We present a machine learning approach for finding minimal equivalent martingale measures for markets simulators of tradable instruments, e.g. for a spot price and options written on the same underlying. We extend our results to markets…
Travel time derivatives are financial instruments that derive their value from road travel times, serving as an underlying asset that cannot be directly traded. Within the transportation domain, these derivatives are proposed as a more…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
We present a discretization of the dynamic optimal transport problem for which we can obtain the convergence rate for the value of the transport cost to its continuous value when the temporal and spatial stepsize vanish. This convergence…
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an…
We consider a multivariate financial market with transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in…
Inspired by the matching of supply to demand in logistical problems, the optimal transport (or Monge--Kantorovich) problem involves the matching of probability distributions defined over a geometric domain such as a surface or manifold. In…
The optimal (Monge-Kantorovich) transportation problem is discussed from several points of view. The Lagrangian formulation extends the action of the {\em Lagrangian} $L(v,x,t)$ from the set of orbits in $\R^n$ to a set of measure-valued…
Our main result is to establish stability of martingale couplings: suppose that $\pi$ is a martingale coupling with marginals $\mu, \nu$. Then, given approximating marginal measures $\tilde \mu \approx \mu, \tilde \nu\approx \nu$ in convex…
We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a…
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the…