The duality between the robust (or equivalently, model independent) hedging of path
dependent European options and a martingale optimal transport problem is proved. The …

Abstract We propose a Fundamental Theorem of Asset Pricing and a Super‐Replication
Theorem in a model‐independent framework. We prove these theorems in the setting of …

The Skorokhod embedding problem is to represent a given probability as the distribution of
Brownian motion at a chosen stopping time. Over the last 50 years this has become one of …

By investigating model-independent bounds for exotic options in financial mathematics, a
martingale version of the Monge–Kantorovich mass transport problem was introduced in …

Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation
of model-independent bounds for exotic options consistent with market prices of liquid …

The Bass local volatility model introduced by Backhoff-Veraguas--Beiglb\" ock--Huesmann--
K\" allblad is a Markov model perfectly calibrated to vanilla options at finitely many …

We obtain a dual representation of the Kantorovich functional defined for functions on the
Skorokhod space using quotient sets. Our representation takes the form of a Choquet …

A duality for robust hedging with proportional transaction costs of path-dependent European
options is obtained in a discrete-time financial market with one risky asset. The investor's …

The dual representation of the martingale optimal transport problem in the Skorokhod space
of multi dimensional cádlág processes is proved. The dual is a minimization problem with …

We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at
finitely many intermediate times. The bounds are sharp and attained by a solution to n …