Related papers: Martingale Schr\"odinger Bridges and Optimal Semis…
Motivated by recent developments in the calibration of stochastic volatility models (SVMs for short), we study continuous-time formulations of martingale optimal transport and martingale Schr\"odinger bridge problems. We establish duality…
We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two-period model, and under a probabilistic condition for multi-period,…
We study a martingale Schr\"odinger bridge problem: given two probability distributions, find their martingale coupling with minimal relative entropy. Our main result provides Schr\"odinger potentials for this coupling. Namely, under…
We investigate the martingale Schr\"odinger bridge, recently introduced by Nutz and Wiesel as a distinguished martingale transport plan between two probability measures in convex order. We show that this construction extends naturally to…
In this paper, we search for optimal portfolio strategies in the presence of various risk measure that are common in financial applications. Particularly, we deal with the static optimization problem with respect to Value at Risk, Expected…
Following closely the construction of the Schrodinger bridge, we build a new class of Stochastic Volatility Models exactly calibrated to market instruments such as for example Vanillas, options on realized variance or VIX options. These…
The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only…
In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {\it three} parts: static positions in liquidly traded vanilla calls, static positions in other tradable, yet…
This paper exploit the equivalence between the Schr\"odinger Bridge problem and the entropy penalized optimal transport in order to find a different approach to the duality, in the spirit of optimal transport. This approach results in a…
This paper introduces a dynamic formulation of divergence-regularized optimal transport with weak targets on the path space. In our formulation, the classical relative entropy penalty is replaced by a general convex divergence, and terminal…
Motivated by modern machine learning applications where we only have access to empirical measures constructed from finite samples, we relax the marginal constraints of the classical Schr\"odinger bridge problem by penalizing the transport…
In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our investigations encompass Esscher transforms, minimal…
We find the variance-optimal equivalent martingale measure when multivariate assets are modeled by a regime-switching geometric Brownian motion, and the regimes are represented by a homogeneous continuous time Markov chain. Under this new…
We consider a nondominated model of a discrete-time financial market where stocks are traded dynamically, and options are available for static hedging. In a general measure-theoretic setting, we show that absence of arbitrage in a…
We use the martingale method to discuss the relationship between mean-variance (MV) and monotone mean-variance (MMV) portfolio selections. We propose a unified framework to discuss the relationship in general financial markets without any…
We establish the stability of solutions to the entropically regularized optimal transport problem with respect to the marginals and the cost function. The result is based on the geometric notion of cyclical invariance and inspired by the…
In the context of Risk Neutral Pricing theory, we consider the classic problem of calibrating a martingale over $\mathbb{R}^n$ to a finite number of marginals thereof, or more practically, to prices of an arbitrary finite set of (joint)…
We study a semimartingale optimal transport problem interpolating between the Schr\"odinger bridge and the stretched Brownian motion associated with the Bass solution of the Skorokhod embedding problem. The cost combines an entropy term on…
We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of…
In this paper, we explore quantitative stability of multi-marginal Schr\"odinger bridges with respect to the marginal constraints. We focus on the case where the number of marginal constraints is large (i.e. ``many-marginals"). When this…