8 papers in the archive (2023–2026), average empirical rigor 2.3/10, average math complexity 9/10. Quadrant mix: Holy Grail ×1, Lab Rats ×7.
Works mostly in Options & Derivatives Pricing, Volatility Modeling & Forecasting, Insurance & Actuarial Risk.
Frequent co-authors: Beatrice Acciaio (3), Mathias Beiglböck (3), Antonio Marini (2), Brandon Garcia Flores (1), Evgeny Kolosov (1), Manuel Hasenbichler (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%).
European option smiles determine the risk-neutral marginal laws of an asset, but not their intertemporal coupling, which is decisive for many applications. The Bass martingale construction selects, among all calibrated martingales, the one closest to Bachelier dynamics; it permits fast calibration a
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
Given $μ$ and $ν$, probability measures on $\mathbb R^d$ in convex order, a Bass martingale is arguably the most natural martingale starting with law $μ$ and finishing with law $ν$. Indeed, this martingale is obtained by stretching a reference Brownian motion so as to meet the data $μ,ν$. Unless $μ$
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
Change of numeraire is a classical tool in mathematical finance. Campi-Laachir-Martini established its applicability to martingale optimal transport. We note that the results of Campi-Laachir-Martini extend to the case of weak martingale transport. We apply this to shadow couplings, continuous time
We investigate duality and existence of dual optimizers for several adapted optimal transport problems under minimal assumptions. This includes the causal and bicausal transport, the causal and bicausal barycenter problem, and a multimarginal problem incorporating causality constraints. Moreover, we
While many questions in robust finance can be posed in the martingale optimal transport framework or its weak extension, others like the subreplication price of VIX futures, the robust pricing of American options or the construction of shadow couplings necessitate additional information to be incorp
Strassen’s theorem asserts that for given marginal probabilities $μ,ν$ there exists a martingale starting in $μ$ and terminating in $ν$ if and only if $μ,ν$ are in convex order. From a financial perspective, it guarantees the existence of market-consistent martingale pricing measures for arbitrage-f