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Found 6 papers, 2 papers with code
Risk measures based on weak optimal transport
In this paper, we study convex risk measures with weak optimal transport penalties.
Duality Theory for Robust Utility Maximisation
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis.
Martingale transport with homogeneous stock movements
We study a variant of the martingale optimal transport problem in a multi-period setting to derive robust price bounds of a financial derivative.
Robust risk aggregation with neural networks
We work with the set of distributions that are both close to the given reference measure in a transportation distance (e. g. the Wasserstein distance), and additionally have the correct marginal structure.
Computation of optimal transport and related hedging problems via penalization and neural networks
This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks.
Duality for pathwise superhedging in continuous time
If the sample space is stable under stopping, the probabilistic problem reduces to finding the supremum over all martingale measures with compact support.
