3 papers in the archive (2023–2026), average empirical rigor 2.3/10, average math complexity 8.7/10. Quadrant mix: Lab Rats ×3.
Works mostly in Insurance & Actuarial Risk, Volatility Modeling & Forecasting.
Frequent co-authors: Beatrice Acciaio (2), Gudmund Pammer (2), Brandon Garcia Flores (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
The Bass local volatility model introduced by Backhoff-Veraguas, Beiglböck, Huesmann, and Källblad is a Markov model perfectly calibrated to vanilla options at finitely many maturities, that approximates the Dupire local volatility model. Conze and Henry-Labordère show that its calibration can be ac
We introduce the class of $q_x$-Bass martingales, extending the notion of $q$-Bass martingales. These are martingale couplings with prescribed marginals whose transition kernels are closest to a given family of reference kernels $(q_x)_{x \in \mathbb R^d}$ in the sense of a suitable weak optimal tra
We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using techniques from martingale optimal transport, we show that, under suitable assumptions, the problem admits a tractable solut