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Found 9 papers, 6 papers with code
The McCormick martingale optimal transport
Martingale optimal transport (MOT) often yields broad price bounds for options, constraining their practical applicability.
Fitted Value Iteration Methods for Bicausal Optimal Transport
We develop a fitted value iteration (FVI) method to compute bicausal optimal transport (OT) where couplings have an adapted structure.
Can maker-taker fees prevent algorithmic cooperation in market making?
In a semi-realistic market simulator, independent reinforcement learning algorithms may facilitate market makers to maintain wide spreads even without communication.
Cooperation between Independent Market Makers
With the digitalization of the financial market, dealers are increasingly handling market-making activities by algorithms.
Distributionally robust risk evaluation with a causality constraint and structural information
This work studies distributionally robust evaluation of expected function values over temporal data.
Understanding algorithmic collusion with experience replay
In an infinitely repeated pricing game, pricing algorithms based on artificial intelligence (Q-learning) may consistently learn to charge supra-competitive prices even without communication.
Time-inconsistency with rough volatility
In this paper, we consider equilibrium strategies under Volterra processes and time-inconsistent preferences embracing mean-variance portfolio selection (MVP).
Merton's portfolio problem under Volterra Heston model
This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model.
Mean-variance portfolio selection under Volterra Heston model
Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean-variance (MV) portfolio selection under the Volterra Heston model.
