Cover Image

The Gradient Flow of the Bass Functional in Martingale Optimal Transport

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Backhoff-Veraguas, Julio, Pammer, Gudmund, Schachermayer, Walter
Format:	Preprint
Published:	2024
Subjects:	Probability Mathematical Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Quantitative Fundamental Theorem of Asset Pricing
by: Beatrice Acciaio, et al.
Published: (2025)

General duality and dual attainment for adapted transport
by: Kršek, Daniel, et al.
Published: (2024)

Change of numeraire for weak martingale transport
by: Beiglböck, Mathias, et al.
Published: (2024)

Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
by: Backhoff, Julio, et al.
Published: (2024)

Calibration of the Bass Local Volatility model
by: Acciaio, Beatrice, et al.
Published: (2023)

Existence of Bass martingales and the martingale Benamou$-$Brenier problem in $\mathbb{R}^{d}$
by: Backhoff-Veraguas, Julio, et al.
Published: (2023)

Quantitative Fundamental Theorem of Asset Pricing
by: Acciaio, Beatrice, et al.
Published: (2022)

Multidimensional specific relative entropy between continuous martingales
by: Backhoff, Julio, et al.
Published: (2024)

Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing
by: Hiew, Joshua Zoen-Git, et al.
Published: (2023)

Bid--Ask Martingale Optimal Transport
by: Liang, Bryan, et al.
Published: (2026)

Martingale expansion for stochastic volatility
by: Fukasawa, Masaaki
Published: (2026)

Dual Attainment in Multi-Period Multi-Asset Martingale Optimal Transport and Its Computation
by: Che, Charlie, et al.
Published: (2026)

On the Martingale Schrödinger Bridge between Two Distributions
by: Nutz, Marcel, et al.
Published: (2024)

Martingale property and moment explosions in signature volatility models
by: Jaber, Eduardo Abi, et al.
Published: (2025)

The Martingale Sinkhorn Algorithm
by: Hasenbichler, Manuel, et al.
Published: (2023)

Strassen's theorem for biased convex order
by: Acciaio, Beatrice, et al.
Published: (2025)

The geometry of financial institutions -- Wasserstein clustering of financial data
by: Riess, Lorenz, et al.
Published: (2023)

A regularized Kellerer theorem in arbitrary dimension
by: Pammer, Gudmund, et al.
Published: (2022)

Specific Wasserstein divergence between continuous martingales
by: Backhoff-Veraguas, Julio, et al.
Published: (2024)

A weak transport approach to the Schrödinger-Bass bridge
by: Hasenbichler, Manuel, et al.
Published: (2026)

Representing General Stochastic Processes as Martingale Laws
by: Beiglböck, Mathias, et al.
Published: (2023)

Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport
by: Engström, Linn, et al.
Published: (2024)

Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
by: He, Jian, et al.
Published: (2025)

Bridging classical and martingale Schrödinger bridges
by: Backhoff, Julio, et al.
Published: (2026)

The Fundamental Theorem of Weak Optimal Transport
by: Beiglböck, Mathias, et al.
Published: (2025)

Efficient Importance Sampling under Heston Model: Short Maturity and Deep Out-of-the-Money Options
by: Tu, Yun-Feng, et al.
Published: (2025)

A discretization scheme for path-dependent FBSDEs and PDEs
by: Jang, Jiuk, et al.
Published: (2023)

A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
by: Fu, Guanxing, et al.
Published: (2024)

Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise
by: Ferrari, Giorgio, et al.
Published: (2025)

Optimal Consumption and Portfolio Choice with No-Borrowing Constraint in the Kim-Omberg Model: The Complete Market Case
by: Ferrari, Giorgio, et al.
Published: (2026)

Mean-Field SDEs driven by $G$-Brownian Motion
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2024)

Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
by: Choulli, T., et al.
Published: (2024)

Real-world models for multiple term structures: a unifying HJM semimartingale framework
by: Fontana, Claudio, et al.
Published: (2024)

Markovian projections for Itô semimartingales with jumps
by: Larsson, Martin, et al.
Published: (2024)

On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients
by: Alfonsi, Aurélien, et al.
Published: (2024)

The second-order Esscher martingale densities for continuous-time market models
by: Choulli, Tahir, et al.
Published: (2024)

Subleading correction to the Asian options volatility in the Black-Scholes model
by: Pirjol, Dan
Published: (2024)

Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process
by: Alaya, Mohamed Ben, et al.
Published: (2024)

Inverting the Markovian projection for pure jump processes
by: Larsson, Martin, et al.
Published: (2024)

Max- and min-stability under first-order stochastic dominance
by: Chambers, Christopher, et al.
Published: (2024)