Adapted Wasserstein distances and stability in mathematical finance

DOI10.1007/s00780-020-00426-3zbMath1440.91036arXiv1901.07450OpenAlexW3033953991MaRDI QIDQ784732

D. Kharzeev

Publication date: 3 August 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.07450

zbMATH Keywords

sensitivitystabilityhedgingWasserstein distanceoptimal transportutility maximisationcausal optimal transport

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Approximation of martingale couplings on the line in the adapted weak topology ⋮ Geometry of information structures, strategic measures and associated stochastic control topologies ⋮ Weak monotone rearrangement on the line ⋮ Measuring association with Wasserstein distances ⋮ Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance ⋮ Dynamic Cournot-Nash equilibrium: the non-potential case ⋮ Computational methods for adapted optimal transport ⋮ Continuity of the martingale optimal transport problem on the real line ⋮ An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems ⋮ Quantization and martingale couplings ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ A note on the adapted weak topology in discrete time ⋮ Designing universal causal deep learning models: The geometric (Hyper)transformer ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ All adapted topologies are equal ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ Robustness to Approximations and Model Learning in MDPs and POMDPs ⋮ Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty ⋮ Regularity and Stability of Feedback Relaxed Controls ⋮ Applications of weak transport theory ⋮ Martingale transport with homogeneous stock movements ⋮ Cournot--Nash Equilibrium and Optimal Transport in a Dynamic Setting ⋮ Existence, duality, and cyclical monotonicity for weak transport costs ⋮ Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control ⋮ Estimating processes in adapted Wasserstein distance ⋮ Stability of martingale optimal transport and weak optimal transport

Cites Work

• Unnamed Item
• On a problem of optimal transport under marginal martingale constraints
• Stability of utility maximization in nonequivalent markets
• Model-independent bounds for option prices -- a mass transport approach
• Martingale optimal transport and robust hedging in continuous time
• Hedging with small uncertainty aversion
• Change of numeraire in the two-marginals martingale transport problem
• On the equality between Monge's infimum and Kantorovich's minimum in optimal mass transportation
• The Skorokhod embedding problem and its offspring
• Robust hedging of the lookback option
• Volatility misspecification, option pricing and superreplication via coupling
• Characterization of a class of weak transport-entropy inequalities on the line
• Incorporating statistical model error into the calculation of acceptability prices of contingent claims
• Weak convergence of financial markets.
• The geometry of multi-marginal Skorokhod embedding
• Fundamental properties of process distances
• Good deal hedging and valuation under combined uncertainty about drift and volatility
• Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
• Existence, duality, and cyclical monotonicity for weak transport costs
• Arbitrage and duality in nondominated discrete-time models
• Kantorovich duality for general transport costs and applications
• Model uncertainty, recalibration, and the emergence of delta-vega hedging
• On a Wasserstein-type distance between solutions to stochastic differential equations
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• Stability of utility-maximization in incomplete markets
• On the uniqueness of solutions of stochastic differential equations
• Sequential decisions under uncertainty and the maximum theorem
• From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties
• The Stability of the Constrained Utility Maximization Problem: A BSDE Approach
• Multistage Stochastic Optimization
• A Distance For Multistage Stochastic Optimization Models
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
• The Wasserstein distance and approximation theorems
• CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
• Version-Independence and Nested Distributions in Multistage Stochastic Optimization
• Robustness of the Black and Scholes Formula
• Causal Transport in Discrete Time and Applications
• Causal transport plans and their Monge–Kantorovich problems
• ROBUST BOUNDS FOR FORWARD START OPTIONS
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Uncertain volatility and the risk-free synthesis of derivatives
• A new class of costs for optimal transport planning
• SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS