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.
no code implementations • 29 Jun 2023 • Xin Hai, Gregoire Loeper, Kihun Nam
We study robust mean-variance optimization in multiperiod portfolio selection by allowing the true probability measure to be inside a Wasserstein ball centered at the empirical probability measure.
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 • 17 Sep 2020 • William Lefebvre, Gregoire Loeper, Huyên Pham
Such consideration is motivated as follows: (i) On the one hand, it is a way to robustify the mean-variance allocation in case of misspecified parameters, by "fitting" it to a reference portfolio that can be agnostic to market parameters; (ii) On the other hand, it is a procedure to track a benchmark and improve the Sharpe ratio of the resulting portfolio by considering a mean-variance criterion in the objective function.
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.
no code implementations • 15 Jun 2019 • Ivan Guo, Gregoire Loeper, Shiyi Wang
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models.
