Следене
Johannes Wiesel
Johannes Wiesel
Потвърден имейл адрес: columbia.edu - Начална страница
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Позовавания
Позовавания
Година
Estimating processes in adapted Wasserstein distance
J Backhoff, D Bartl, M Beiglböck, J Wiesel
The Annals of Applied Probability 32 (1), 529-550, 2022
292022
Entropic optimal transport: Convergence of potentials
M Nutz, J Wiesel
Probability Theory and Related Fields 184 (1), 401-424, 2022
272022
The robust superreplication problem: a dynamic approach
L Carassus, J Obłój, J Wiesel
SIAM Journal on Financial Mathematics 10 (4), 907-941, 2019
202019
Robust uncertainty sensitivity analysis
D Bartl, S Drapeau, J Obloj, J Wiesel
arXiv preprint arXiv:2006.12022, 2020
17*2020
Continuity of the martingale optimal transport problem on the real line
J Wiesel
arXiv preprint arXiv:1905.04574, 2019
172019
Robust estimation of superhedging prices
J Obłój, J Wiesel
The Annals of Statistics 49 (1), 508-530, 2021
14*2021
A unified framework for robust modelling of financial markets in discrete time
J Obłój, J Wiesel
Finance and Stochastics 25 (3), 427-468, 2021
112021
Stability of Schr\" odinger Potentials and Convergence of Sinkhorn's Algorithm
M Nutz, J Wiesel
arXiv preprint arXiv:2201.10059, 2022
92022
Measuring association with Wasserstein distances
JCW Wiesel
Bernoulli 28 (4), 2816-2832, 2022
52022
Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets
J Obloj, J Wiesel
Mathematical Finance, 2021
5*2021
Martingale Schr\" odinger Bridges and Optimal Semistatic Portfolios
M Nutz, J Wiesel, L Zhao
arXiv preprint arXiv:2204.12250, 2022
22022
Sensitivity of multi-period optimization problems in adapted Wasserstein distance
D Bartl, J Wiesel
arXiv preprint arXiv:2208.05656, 2022
12022
A characterisation of convex order using the 2-Wasserstein distance
J Wiesel, E Zhang
arXiv preprint arXiv:2207.01235, 2022
12022
Limits of Semistatic Trading Strategies
M Nutz, J Wiesel, L Zhao
arXiv preprint arXiv:2204.12251, 2022
12022
On a Lusin theorem for capacities
J Wiesel
Proceedings of the American Mathematical Society 150 (03), 1351-1360, 2022
12022
On the generalization error of norm penalty linear regression models
JLM Olea, C Rush, A Velez, J Wiesel
arXiv preprint arXiv:2211.07608, 2022
2022
On the generalization error of norm penalty linear regression models
JL Montiel Olea, C Rush, A Velez, J Wiesel
arXiv e-prints, arXiv: 2211.07608, 2022
2022
Data driven approach to robust pricing, hedging and risk management and its dynamics in time
JCW Wiesel
University of Oxford, 2020
2020
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Статии 1–18