Weak transport for non‐convex costs and model‐independence in a fixed‐income market-Reference-Cited by-同舟云学术

Weak transport for non‐convex costs and model‐independence in a fixed‐income market

Published:2021-07-19 Issue:4 Volume:31 Page:1423-1453
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Acciaio Beatrice¹^ORCID,Beiglböck Mathias²^ORCID,Pammer Gudmund¹^ORCID

Affiliation:

1. ETH Zurich Zurich Switzerland

2. University of Vienna Vienna Austria

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12328

Reference45 articles.

1. A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM

2. Acciaio B. &Grbac Z.(2020).Consistency of traded option prices and absence of arbitrage in the presence of stochastic interest rates.https://people.math.ethz.ch/~beacciaio/pdfs/DH_BZ.pdf.

3. SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS

4. Sampling of probability measures in the convex order by Wasserstein projection;Alfonsi A.;Annales de l'Institut Henri Poincaré B, Probability and Statistics,2020

5. A new class of costs for optimal transport planning

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Duality for the Kantorovich Problem with a Fixed Barycenter and Barycenters of Functionals;Functional Analysis and Its Applications;2024-06

2. Двойственность в задаче Канторовича с фиксированным барицентром и барицентры функционалов;Функциональный анализ и его приложения;2024

3. Stability of the weak martingale optimal transport problem;The Annals of Applied Probability;2023-12-01

4. The Nonlinear Kantorovich Transportation Problem with Nonconvex Costs;Functional Analysis and Its Applications;2023-12

5. On Radon Barycenters of Measures on Spaces of Measures;The Bulletin of Irkutsk State University. Series Mathematics;2023