no code implementations • 20 Oct 2023 • Benjamin Joseph, Gregoire Loeper, Jan Obloj
We link it with the semimartingale optimal transport and deduce an alternative way to arrive at the dual formulation recently obtained in Backhoff-Beraguas et al. (2023).
no code implementations • 28 Aug 2023 • Benjamin Joseph, Gregoire Loeper, Jan Obloj
We develop and implement a non-parametric method for joint exact calibration of a local volatility model and a correlated stochastic short rate model using semimartingale optimal transport.
1 code implementation • NeurIPS 2023 • Xingjian Bai, Guangyi He, Yifan Jiang, Jan Obloj
To evaluate the distributional robustness of neural networks, we propose a first-order AA algorithm and its multi-step version.
no code implementations • 29 Apr 2023 • Gregoire Loeper, Jan Obloj, Benjamin Joseph
We develop a non-parametric, optimal transport driven, calibration methodology for local volatility models with stochastic interest rate.
no code implementations • 5 Jul 2021 • Ivan Guo, Gregoire Loeper, Jan Obloj, Shiyi Wang
We provide a survey of recent results on model calibration by Optimal Transport.
no code implementations • 3 May 2021 • Jan Obloj, Johannes Wiesel
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty.
no code implementations • 5 Feb 2021 • Sang Hu, Jan Obloj, Xun Yu Zhou
We develop an approach to solve Barberis (2012)'s casino gambling model in which a gambler whose preferences are specified by the cumulative prospect theory (CPT) must decide when to stop gambling by a prescribed deadline.
no code implementations • 5 Apr 2020 • Ivan Guo, Gregoire Loeper, Jan Obloj, Shiyi Wang
This paper addresses the joint calibration problem of SPX options and VIX options or futures.
