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Continuity of the martingale optimal transport problem on the real line
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Continuity of the martingale optimal transport problem on the real line (2023)Continuity of the martingale optimal tran…Stability of martingale optimal transport and weak optimal transport (2022)Stability of martingale optim…All adapted topologies are equal (2020)All adapted topologies are eq…Adapted Wasserstein distances and stability in mathematical finance (2020)Adapted Wasserstein distances…Computational methods for martingale optimal transport problems (2019)Computational methods for mar…Stability of the shadow projection and the left-curtain coupling (2016)Stability of the shadow proje…MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH (2016)MODEL-INDEPENDENT BOUNDS FOR …Robust price bounds for the forward starting straddle (2014)Robust price bounds for the f…Martingale inequalities and deterministic counterparts (2014)Martingale inequalities and d…A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (2014)A stochastic control approach…A Distance For Multistage Stochastic Optimization Models (2012)A Distance For Multistage Sto…Version-Independence and Nested Distributions in Multistage Stochastic Optimization (2009)Version-Independence and Nest…Scenario tree modeling for multistage stochastic programs (2007)Scenario tree reduction for multistage stochastic programs (2008)Dynamic generation of scenario trees (2015)Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective (2015)Stability of Multistage Stochastic Programs (2006)Optimal scenario reduction framework based on distance of uncertainty distribution and output performance: II. Sequential reduction (2015)Bounds and Approximations for Multistage Stochastic Programs (2016)Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization (2019)Robust hedging of the lookback option (1998)The Skorokhod embedding problem and its offspring (2004)An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint (2016)The Robust Superreplication Problem: A Dynamic Approach (2019)Prices of State-Contingent Claims Implicit in Option Prices (1978)The concept of comonotonicity in actuarial science and finance: applications (2002)Irreducible convex paving for decomposition of multidimensional martingale transport plans (2019)Martingales and stochastic integrals in the theory of continuous trading (1981)Controlled Markov Processes and Viscosity Solutions (2005)A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM (2013)Arbitrage and duality in nondominated discrete-time models (2015)On the uniqueness of solutions of stochastic differential equations (1971)Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochastic Calculus (2007)Estimating processes in adapted Wasserstein distance (2022)Martingale optimal transport and robust hedging in continuous time (2013)Regularity and Stability of Feedback Relaxed Controls (2021)The Joint S&P 500/VIX Smile Calibration Puzzle Solved (2019)Inversion of convex ordering in the VIX market (2020)
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References

  • 2016MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH358 cited
  • 2014A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options243 cited
  • 2012A Distance For Multistage Stochastic Optimization Models134 cited
  • 2014Robust price bounds for the forward starting straddle82 cited
  • 2020Adapted Wasserstein distances and stability in mathematical finance80 cited
  • 2009Version-Independence and Nested Distributions in Multistage Stochastic Optimization68 cited
  • 2019Computational methods for martingale optimal transport problems64 cited
  • 2020All adapted topologies are equal53 cited
  • 2022Stability of martingale optimal transport and weak optimal transport49 cited
  • 2014Martingale inequalities and deterministic counterparts37 cited
  • 2016Stability of the shadow projection and the left-curtain coupling36 cited

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