Martingale optimal transport

Model-Free Hedging ◽

10.1201/9781315161747-2 ◽

2017 ◽

pp. 25-87 ◽

Author(s):

Pierre Henry-Labordère

Keyword(s):

Optimal Transport ◽

Martingale Optimal Transport

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Martingale Optimal Transport in the Skorokhod Space

SSRN Electronic Journal ◽

10.2139/ssrn.2512292 ◽

2014 ◽

Author(s):

Yan Dolinsky ◽

Halil Mete Soner

Keyword(s):

Optimal Transport ◽

Skorokhod Space ◽

Martingale Optimal Transport

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Martingale optimal transport in the Skorokhod space

Stochastic Processes and their Applications ◽

10.1016/j.spa.2015.05.009 ◽

2015 ◽

Vol 125 (10) ◽

pp. 3893-3931 ◽

Author(s):

Yan Dolinsky ◽

H. Mete Soner

Keyword(s):

Optimal Transport ◽

Skorokhod Space ◽

Martingale Optimal Transport

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Martingale Optimal Transport with Stopping

SIAM Journal on Control and Optimization ◽

10.1137/17m1114065 ◽

2018 ◽

Vol 56 (1) ◽

pp. 417-433 ◽

Author(s):

Erhan Bayraktar ◽

Alexander M. G. Cox ◽

Yavor Stoev

Keyword(s):

Optimal Transport ◽

Martingale Optimal Transport

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Computational methods for martingale optimal transport problems

The Annals of Applied Probability ◽

10.1214/19-aap1481 ◽

2019 ◽

Vol 29 (6) ◽

pp. 3311-3347 ◽

Author(s):

Gaoyue Guo ◽

Jan Obłój

Keyword(s):

Computational Methods ◽

Optimal Transport ◽

Martingale Optimal Transport ◽

Transport Problems

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Sampling of Probability Measures in the Convex Order and Approximation of Martingale Optimal Transport Problems

SSRN Electronic Journal ◽

10.2139/ssrn.3072356 ◽

2017 ◽

Author(s):

Aurrlien Alfonsi ◽

Jacopo Corbetta ◽

Benjamin Jourdain

Keyword(s):

Optimal Transport ◽

Probability Measures ◽

Convex Order ◽

Martingale Optimal Transport ◽

Transport Problems

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Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem

SIAM Journal on Financial Mathematics ◽

10.1137/140960724 ◽

2015 ◽

Vol 6 (1) ◽

pp. 1171-1194 ◽

Author(s):

Stefano De Marco ◽

Pierre Henry-Labordère

Keyword(s):

Optimal Transport ◽

Transport Problem ◽

Vix Options ◽

Martingale Optimal Transport

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Martingale optimal transport in the discrete case via simple linear programming techniques

Mathematical Methods of Operations Research ◽

10.1007/s00186-019-00684-8 ◽

2019 ◽

Vol 90 (3) ◽

pp. 453-476

Author(s):

Nicole Bäuerle ◽

Daniel Schmithals

Keyword(s):

Linear Programming ◽

Optimal Transport ◽

Discrete Case ◽

Programming Techniques ◽

Martingale Optimal Transport

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(Martingale) Optimal Transport and Anomaly Detection with Neural Networks: A Primal-Dual Algorithm

SSRN Electronic Journal ◽

10.2139/ssrn.3370910 ◽

2019 ◽

Author(s):

Pierre Henry-Labordere

Keyword(s):

Neural Networks ◽

Anomaly Detection ◽

Optimal Transport ◽

Dual Algorithm ◽

Primal Dual ◽

Martingale Optimal Transport

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Corrigendum to “Martingale optimal transport in the Skorokhod space” [Stochastic Process. Appl. 125(10) (2015) 3893–3931]

Stochastic Processes and their Applications ◽

10.1016/j.spa.2015.09.013 ◽

2016 ◽

Vol 126 (1) ◽

pp. 312-313 ◽

Author(s):

Yan Dolinsky ◽

H. Mete Soner

Keyword(s):

Stochastic Process ◽

Optimal Transport ◽

Skorokhod Space ◽

Martingale Optimal Transport

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Martingale optimal transport and robust hedging in continuous time

Probability Theory and Related Fields ◽

10.1007/s00440-013-0531-y ◽

2013 ◽

Vol 160 (1-2) ◽

pp. 391-427 ◽

Author(s):

Yan Dolinsky ◽

H. Mete Soner

Keyword(s):

Continuous Time ◽

Optimal Transport ◽

Robust Hedging ◽

Martingale Optimal Transport

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