Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Optimal Skorokhod embedding under finitely-many marginal constraints *.

60G05, Martingale optimal transport, Model-free pric-ing, Robust hedging AMS subject classification 2010 Primary 60G40, Secondary 49M29, Skorokhod embedding

On the stability of the martingale optimal transport problem.

Convex order, Couplages martingale, Distance de Wasserstein, Finance robuste, Martingale Optimal Transport, Martingale couplings, Ordre convexe, Robust finance, Stability, Stabilité, Transport optimal martingale, Wasserstein distance

One dimensional martingale rearrangement couplings.

Adapted Wasserstein distance, Convex order, Martingale Optimal Transport, Martingale couplings, Robustfinance

Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds.

Convex order, Linear programming, Martingale optimal transport, Robust option price bounds, Sampling techniques

Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds.

Convex order, Linear programming, Martingale optimal transport, Robust option price bounds, Sam-pling techniques

Martingale Wasserstein inequality for probability measures in the convex order.

Convex order, Martingale Optimal Transport, Martingale couplings, Wasserstein distance

On the stability of the martingale optimal transport problem.

Convex order, Couplages martingale, Distance de Wasserstein, Finance robuste, Martingale Optimal Transport, Martingale couplings, Ordre convexe, Robust finance, Stability, Stabilité, Transport optimal martingale, Wasserstein distance