Adapted Wasserstein Distances and Stability in Mathematical Finance

Citations

Cited by:

1. Erhan Bayraktar & Bingyan Han, 2023. "Fitted Value Iteration Methods for Bicausal Optimal Transport," Papers 2306.12658, arXiv.org, revised Nov 2023.
2. Marlon Moresco & M'elina Mailhot & Silvana M. Pesenti, 2023. "Uncertainty Propagation and Dynamic Robust Risk Measures," Papers 2308.12856, arXiv.org, revised Feb 2024.
3. Michael Kupper & Max Nendel & Alessandro Sgarabottolo, 2023. "Risk measures based on weak optimal transport," Papers 2312.05973, arXiv.org.
4. Julio Backhoff-Veraguas & Gudmund Pammer & Walter Schachermayer, 2024. "The Gradient Flow of the Bass Functional in Martingale Optimal Transport," Papers 2407.18781, arXiv.org.
5. Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky, 2020. "Extended weak convergence and utility maximisation with proportional transaction costs," Finance and Stochastics, Springer, vol. 24(4), pages 1013-1034, October.
   • Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky, 2019. "Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs," Papers 1912.08863, arXiv.org, revised Jul 2020.
6. Laurence Carassus & Johannes Wiesel, 2025. "Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity," Finance and Stochastics, Springer, vol. 29(2), pages 519-551, April.
7. Nicolas Boursin & Carl Remlinger & Joseph Mikael, 2022. "Deep Generators on Commodity Markets Application to Deep Hedging," Risks, MDPI, vol. 11(1), pages 1-18, December.
8. Bingyan Han, 2022. "Distributionally robust risk evaluation with a causality constraint and structural information," Papers 2203.10571, arXiv.org, revised Jun 2025.
9. Beatrice Acciaio & Berenice Anne Neumann, 2025. "Characterization of transport optimizers via graphs and applications to Stackelberg–Cournot–Nash equilibria," Mathematics and Financial Economics, Springer, volume 19, number 3, September.
10. Daniel Bartl & Johannes Wiesel, 2022. "Sensitivity of multiperiod optimization problems in adapted Wasserstein distance," Papers 2208.05656, arXiv.org, revised Jun 2023.
11. Beatrice Acciaio & Mathias Beiglboeck & Gudmund Pammer, 2020. "Weak Transport for Non-Convex Costs and Model-independence in a Fixed-Income Market," Papers 2011.04274, arXiv.org, revised Aug 2023.
12. Benjamin Jourdain & Gudmund Pammer, 2023. "An extension of martingale transport and stability in robust finance," Papers 2304.09551, arXiv.org.
13. Julio Backhoff-Veraguas & Gudmund Pammer, 2019. "Stability of martingale optimal transport and weak optimal transport," Papers 1904.04171, arXiv.org, revised Dec 2020.
14. Beatrice Acciaio & Julio Backhoff-Veraguas & Junchao Jia, 2020. "Cournot-Nash equilibrium and optimal transport in a dynamic setting," Papers 2002.08786, arXiv.org, revised Nov 2020.
15. Mathias Beiglbock & Gudmund Pammer & Lorenz Riess, 2024. "Change of numeraire for weak martingale transport," Papers 2406.07523, arXiv.org.
16. Cohen, Asaf & Saha, Subhamay, 2021. "Asymptotic optimality of the generalized cμ rule under model uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 136(C), pages 206-236.
17. Beatrice Acciaio & Daniel Krv{s}ek & Gudmund Pammer, 2024. "Multicausal transport: barycenters and dynamic matching," Papers 2401.12748, arXiv.org, revised Jan 2025.
18. Beatrice Acciaio & Julio Backhoff & Gudmund Pammer, 2022. "Quantitative Fundamental Theorem of Asset Pricing," Papers 2209.15037, arXiv.org, revised Jan 2024.
19. Beatrice Acciaio & Stephan Eckstein & Songyan Hou, 2024. "Time-Causal VAE: Robust Financial Time Series Generator," Papers 2411.02947, arXiv.org.
20. Nicolas Boursin & Carl Remlinger & Joseph Mikael & Carol Anne Hargreaves, 2022. "Deep Generators on Commodity Markets; application to Deep Hedging," Papers 2205.13942, arXiv.org.
21. Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin, 2023. "Robust retirement and life insurance with inflation risk and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 1-30.
22. Daniel Krv{s}ek & Gudmund Pammer, 2024. "General duality and dual attainment for adapted transport," Papers 2401.11958, arXiv.org, revised Nov 2024.
23. Ruslan Mirmominov & Johannes Wiesel, 2024. "A dynamic programming principle for multiperiod control problems with bicausal constraints," Papers 2410.23927, arXiv.org.
24. Beatrice Acciaio & Anastasis Kratsios & Gudmund Pammer, 2022. "Designing Universal Causal Deep Learning Models: The Geometric (Hyper)Transformer," Papers 2201.13094, arXiv.org, revised Mar 2023.
25. John Armstrong & Andrei Ionescu, 2023. "Gamma Hedging and Rough Paths," Papers 2309.05054, arXiv.org, revised Mar 2024.
26. Nathan Sauldubois & Nizar Touzi, 2024. "First order Martingale model risk and semi-static hedging," Papers 2410.06906, arXiv.org.
27. Julio Backhoff-Veraguas & Xin Zhang, 2023. "Dynamic Cournot-Nash equilibrium: the non-potential case," Mathematics and Financial Economics, Springer, volume 17, number 1, September.