We consider a stochastic volatility model where the dynamics of the volatility are described
by linear functions of the (time extended) signature of a primary underlying process, which is …

Entropic Optimal Transport (EOT), also referred to as the Schr\" odinger problem, seeks to
find a random processes with prescribed initial/final marginals and with minimal relative …

We consider the path-dependent volatility (PDV) model of Guyon and Lekeufack (2023),
where the instantaneous volatility is a linear combination of a weighted sum of past returns …

We propose a discrete time formulation of the semi martingale optimal transport
problembased on multi-marginal entropic transport. This approach offers a new way to …

We develop and implement a non-parametric method for joint exact calibration of a local
volatility model and a correlated stochastic short rate model using semimartingale optimal …

This work considers the calibration of exponential Lévy models to market options data and
the subsequent pricing of exotic options. We focus on a natural and promising extension of …

We augment the well known rough Heston model with an additional independent
CGMY/KoboL-type jump process with a Brownian component, and we show that one can …

We obtain the optimal execution strategy for two sequential trades in the presence of a
transient price impact. We first present a novel and general solution method for the case of a …