Cover Image

An Optimal Transport approach to arbitrage correction: application to Volatility Stress-Tests

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Chevallier, Marius, De Marco, Stefano, Lévy-dit-Vehel, Pierre-Emmanuel
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance 91G80, 49Q22
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Schrödinger bridges with jumps for time series generation
by: De Marco, Stefano, et al.
Published: (2026)

Rough Martingale Optimal Transport: Theory, Implementation, and Regulatory Applications for Non-Modelable Risk Factors
by: B., Sri Sairam Gautam, et al.
Published: (2026)

A network model for urban planning
by: Camilli, Fabio, et al.
Published: (2024)

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

Multi-Period Martingale Optimal Transport: Classical Theory, Neural Acceleration, and Financial Applications
by: B, Sri Sairam Gautam
Published: (2026)

The k-Facility Location Problem Via Optimal Transport: A Bayesian Study of the Percentile Mechanisms
by: Auricchio, Gennaro, et al.
Published: (2024)

Computing Optimal Trajectories for Optimal Transport in Nonuniform Environments
by: Dieci, Luca, et al.
Published: (2025)

On the equivalence between static and dynamic optimal transport governed by linear control systems
by: Einav, Amit, et al.
Published: (2025)

Sharp upper bound for a branched transport problem coming from Ginzburg-Landau models
by: Cosenza, Alessandro, et al.
Published: (2026)

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

Sticky dispersion on the complete graph: a kinetic approach
by: Cao, Fei, et al.
Published: (2024)

Nash Equilibria in Greenhouse Gas Offset Credit Markets
by: Welsh, Liam, et al.
Published: (2024)

Deterministic Mean Field Games on Networks and Related Optimal Control Problems
by: Achdou, Yves, et al.
Published: (2025)

Equilibrium in Functional Stochastic Games with Mean-Field Interaction
by: Jaber, Eduardo Abi, et al.
Published: (2023)

Measuring inequality in society-oriented Lotka--Volterra-type kinetic equations
by: Menale, Marco, et al.
Published: (2025)

Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach
by: Han, Bingyan, et al.
Published: (2023)

Optimal Matching Strategies in Two-sided Markets: A Mean Field Approach
by: Bayraktar, Erhan, et al.
Published: (2025)

First order Martingale model risk and semi-static hedging
by: Sauldubois, Nathan, et al.
Published: (2024)

Supervised Gromov-Wasserstein Optimal Transport
by: Cang, Zixuan, et al.
Published: (2024)

Constrained Approximate Optimal Transport Maps
by: Tanguy, Eloi, et al.
Published: (2024)

Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein Projections
by: Blanchet, Jose, et al.
Published: (2025)

Constrained Mean Field Games with Grushin type dynamics
by: Cutrì, Alessandra, et al.
Published: (2026)

Cooperation, Correlation and Competition in Ergodic N-player Games and Mean-field Games of Singular Controls: A Case Study
by: Cannerozzi, Federico, et al.
Published: (2024)

On the Regularity of a Weak Formulation of Stochastic Differential Mean-Field Games
by: Morgado, Hector Sanchez, et al.
Published: (2023)

The global well-posedness for master equations of mean field games of controls
by: Liu, Shuhui, et al.
Published: (2026)

Equilibrium strategies for stochastic control problems with higher-order moments and applications to portfolio selection
by: Wang, Yike, et al.
Published: (2025)

Replicator dynamics as the large population limit of a discrete Moran process in the weak selection regime: A proof via Eulerian specification
by: Morandotti, Marco, et al.
Published: (2025)

Implicit Regularization of Large Neural Networks via Mean-Field Formulation
by: Acciaio, Beatrice, et al.
Published: (2026)

Policy Optimization for Continuous-time Linear-Quadratic Graphon Mean Field Games
by: Plank, Philipp, et al.
Published: (2025)

Compounding Effects in Leveraged ETFs: Beyond the Volatility Drag Paradigm
by: Hsieh, Chung-Han, et al.
Published: (2025)

Entropy-Regularized Optimal Transport in Information Design
by: Justiniano, Jorge, et al.
Published: (2024)

Regularization of Stationary Second-order Mean Field Game Partial Differential Inclusions
by: Osborne, Yohance A. P., et al.
Published: (2024)

Remarks on potential mean field games
by: Graber, P. Jameson
Published: (2024)

Characterization of measures on the real line that are critically unstable under small shifts
by: Aussedat, Averil
Published: (2026)

Uniqueness and Existence of Linear Equilibrium with a Constrained Trader
by: Kwon, Heeyoung, et al.
Published: (2025)

Explicit Signal-Adaptive Sequential Optimal Execution Quotes
by: Yu, Fenghui
Published: (2026)

The Time-Interlaced Self-Consistent Master System of Heterogeneous-Agent Models
by: Lyasoff, Andrew
Published: (2023)

$α$-robust utility maximization with intractable claims: A quantile optimization approach
by: Chen, Xinyu, et al.
Published: (2026)

Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks
by: Kopeliovich, Yaacov, et al.
Published: (2024)

Cascade equation for the discontinuities in the Stefan problem with surface tension
by: Guo, Yucheng, et al.
Published: (2024)