4 papers in the archive (2023–2026), average empirical rigor 2.8/10, average math complexity 6.6/10. Quadrant mix: Lab Rats ×3, Philosophers ×1.
Works mostly in Options & Derivatives Pricing.
Frequent co-authors: Joshua Zoen-Git Hiew (1), Brendan Pass (1), Marcelo Cruz de Souza (1), Charlie Che (1), Yue Sun (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%).
We establish dual attainment for the multimarginal, multi-asset martingale optimal transport (MOT) problem, a fundamental question in the mathematical theory of model-independent pricing and hedging in quantitative finance. Our main result proves the existence of dual optimizers under mild regularit
This paper addresses the problem of robust option pricing within the framework of Vectorial Martingale Optimal Transport (VMOT). We investigate the geometry of VMOT solutions for $N$-period market models and demonstrate that, when the number of underlying assets is $d=2$ and the payoff is sub- or su
The Black-Scholes-Merton model is a mathematical model for the dynamics of a financial market that includes derivative investment instruments, and its formula provides a theoretical price estimate of European-style options. The model’s fundamental idea is to eliminate risk by hedging the option by p
Given the marginal distribution information of the underlying asset price at two future times $T_1$ and $T_2$, we consider the problem of determining a model-free upper bound on the price of a class of American options that must be exercised at either $T_1$ or $T_2$. The model uncertainty consistent