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Found 7 papers, 0 papers with code
Unwinding Stochastic Order Flow: When to Warehouse Trades
We study how to unwind stochastic order flow with minimal transaction costs.
On the Guyon-Lekeufack Volatility Model
Guyon and Lekeufack recently proposed a path-dependent volatility model and documented its excellent performance in fitting market data and capturing stylized facts.
Convergence Rates for Regularized Optimal Transport via Quantization
We study the convergence of divergence-regularized optimal transport as the regularization parameter vanishes.
Limits of Semistatic Trading Strategies
We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies.
Martingale Schrödinger Bridges and Optimal Semistatic Portfolios
In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale Schr\"odinger bridge Q*; that is, the minimal-entropy martingale measure among all models calibrated to option prices.
Entropic Optimal Transport: Geometry and Large Deviations
The exact rate function is determined in a general setting and linked to the Kantorovich potential of optimal transport.
Optimization and Control Functional Analysis Probability 90C25, 60F10, 49N05
Asset Pricing with Heterogeneous Beliefs and Illiquidity
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff.
