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1

Model-independent bounds for option prices—a mass transport approach

Mathias Beiglböck, Pierre Henry-Labordère, Friedrich Penkner

Journal:

Finance and Stochastics

Année:

2013

Langue:

english

Fichier:

PDF, 983 KB

english, 2013

2

Duality for Borel measurable cost functions

Beiglböck, Mathias, Schachermayer, Walter

Journal:

Transactions of the American Mathematical Society

Année:

2011

Langue:

english

Fichier:

PDF, 309 KB

english, 2011

3

An ultrafilter approach to Jin’s theorem

Mathias Beiglböck

Journal:

Israel Journal of Mathematics

Année:

2011

Langue:

english

Fichier:

PDF, 147 KB

english, 2011

4

Some New Results in Multiplicative and Additive Ramsey Theory

Mathias Beiglböck, Vitaly Bergelson, Neil Hindman and Dona Strauss

Journal:

Transactions of the American Mathematical Society

Année:

2008

Langue:

english

Fichier:

PDF, 2.71 MB

english, 2008

5

Optimal transport and Skorokhod embedding

Beiglböck, Mathias, Cox, Alexander M. G., Huesmann, Martin

Journal:

Inventiones mathematicae

Année:

2017

Langue:

english

Fichier:

PDF, 1.15 MB

english, 2017

6

Sumset phenomenon in countable amenable groups

Mathias Beiglböck, Vitaly Bergelson, Alexander Fish

Journal:

Advances in Mathematics

Année:

2010

Langue:

english

Fichier:

PDF, 204 KB

english, 2010

7

Optimal and better transport plans

Mathias Beiglböck, Martin Goldstern, Gabriel Maresch, Walter Schachermayer

Journal:

Journal of Functional Analysis

Année:

2009

Langue:

english

Fichier:

PDF, 219 KB

english, 2009

8

Strong characterizing sequences of countable groups

Mathias Beiglböck

Journal:

Journal of Number Theory

Année:

2007

Langue:

english

Fichier:

PDF, 122 KB

english, 2007

9

Utility maximization, risk aversion, and stochastic dominance

Mathias Beiglböck, Johannes Muhle-Karbe, Johannes Temme

Journal:

Mathematics and Financial Economics

Année:

2012

Langue:

english

Fichier:

PDF, 319 KB

english, 2012

10

A short proof of the Doob–Meyer theorem

Mathias Beiglböck, Walter Schachermayer, Bezirgen Veliyev

Journal:

Stochastic Processes and their Applications

Année:

2012

Langue:

english

Fichier:

PDF, 171 KB

english, 2012

11

Is the Minimum Value of an Option on Variance Generated by Local Volatility?

Beiglböck, Mathias, Friz, Peter, Sturm, Stephan

Journal:

SIAM Journal on Financial Mathematics

Année:

2011

Langue:

english

Fichier:

PDF, 550 KB

english, 2011

12

Duality for rectified cost functions

Mathias Beiglböck, Aldo Pratelli

Journal:

Calculus of Variations and Partial Differential Equations

Année:

2012

Langue:

english

Fichier:

PDF, 212 KB

english, 2012

13

Pathwise versions of the Burkholder–Davis–Gundy inequality

Beiglböck, Mathias, Siorpaes, Pietro

Journal:

Année:

2015

Langue:

english

Fichier:

PDF, 154 KB

english, 2015

14

A DIRECT PROOF OF THE BICHTELER—DELLACHERIE THEOREM AND CONNECTIONS TO ARBITRAGE

Mathias Beiglböck, Walter Schachermayer and Bezirgen Veliyev

Journal:

The Annals of Probability

Année:

2011

Langue:

english

Fichier:

PDF, 1.07 MB

english, 2011

15

On a problem of optimal transport under marginal martingale constraints

Beiglböck, Mathias, Juillet, Nicolas

Journal:

The Annals of Probability

Année:

2016

Langue:

english

Fichier:

PDF, 603 KB

english, 2016

16

Geometry of distribution-constrained optimal stopping problems

Beiglböck, Mathias, Eder, Manu, Elgert, Christiane, Schmock, Uwe

Journal:

Probability Theory and Related Fields

Année:

2018

Langue:

english

Fichier:

PDF, 1.44 MB

english, 2018

17

Some new results in multiplicative and additive Ramsey theory

Beiglböck, Mathias, Bergelson, Vitaly, Hindman, Neil, Strauss, Dona

Journal:

Transactions of the American Mathematical Society

Année:

2008

Langue:

english

Fichier:

PDF, 437 KB

english, 2008

18

The geometry of multi-marginal Skorokhod Embedding

Beiglböck, Mathias, Cox, Alexander M. G., Huesmann, Martin

Journal:

Probability Theory and Related Fields

Année:

2019

Langue:

english

Fichier:

PDF, 917 KB

english, 2019

19

Multiplicative structures in additively large sets

Mathias Beiglböck, Vitaly Bergelson, Neil Hindman, Dona Strauss

Journal:

Journal of Combinatorial Theory, Series A

Année:

2006

Langue:

english

Fichier:

PDF, 259 KB

english, 2006

20

Transfinite approximation of Hindman’s theorem

Mathias Beiglböck, Henry Towsner

Journal:

Israel Journal of Mathematics

Année:

2012

Langue:

english

Fichier:

PDF, 237 KB

english, 2012

21

CLONES FROM IDEALS

BEIGLBÖCK, MATHIAS, GOLDSTERN, MARTIN, HEINDORF, LUTZ, PINSKER, MICHAEL

Journal:

International Journal of Algebra and Computation

Année:

2009

Langue:

english

Fichier:

PDF, 340 KB

english, 2009

22

Cyclical monotonicity and the ergodic theorem

BEIGLBÖCK, MATHIAS

Journal:

Ergodic Theory and Dynamical Systems

Année:

2015

Langue:

english

Fichier:

PDF, 298 KB

english, 2015

23

Silver-Russell Syndrome-like Features in a Patient Carrying a Novel NF1 Mutation

Wimmer, Katharina, Decker, Mathias, Mayatepek, Ertan, Beiglböck, Harald, Eggermann, Thomas, Kehrer-Sawatzki, Hildegard, Fonatsch, Christa, Rosenbaum, Thorsten

Journal:

Pediatric Research

Année:

2005

Langue:

english

Fichier:

PDF, 353 KB

english, 2005

24

Martingale inequalities and deterministic counterparts

Beiglböck, Mathias, Nutz, Marcel

Journal:

Electronic Journal of Probability

Année:

2014

Langue:

english

Fichier:

PDF, 331 KB

english, 2014

25

A direct proof of the Bichteler–Dellacherie theorem and connections to arbitrage

Beiglböck, Mathias, Schachermayer, Walter, Veliyev, Bezirgen

Journal:

The Annals of Probability

Année:

2011

Langue:

english

Fichier:

PDF, 183 KB

english, 2011

26

Monotone martingale transport plans and Skorokhod embedding

Beiglböck, Mathias, Henry-Labordère, Pierre, Touzi, Nizar

Journal:

Stochastic Processes and their Applications

Année:

2017

Langue:

english

Fichier:

PDF, 383 KB

english, 2017

27

Complete duality for martingale optimal transport on the line

Beiglböck, Mathias, Nutz, Marcel, Touzi, Nizar

Journal:

The Annals of Probability

Année:

2017

Langue:

english

Fichier:

PDF, 331 KB

english, 2017

28

Causal Transport in Discrete Time and Applications

Backhoff, Julio, Beiglböck, Mathias, Lin, Yiqing, Zalashko, Anastasiia

Journal:

SIAM Journal on Optimization

Année:

2017

Langue:

english

Fichier:

PDF, 384 KB

english, 2017

29

Pathwise superreplication via Vovk’s outer measure

Beiglböck, Mathias, Cox, Alexander M. G., Huesmann, Martin, Perkowski, Nicolas, Prömel, David J.

Journal:

Finance and Stochastics

Année:

2017

Langue:

english

Fichier:

PDF, 878 KB

english, 2017

30

A generalized dual maximizer for the Monge–Kantorovich transport problem

Beiglböck, Mathias, Léonard, Christian, Schachermayer, Walter

Journal:

ESAIM Probability and Statistics

Année:

2012

Langue:

english

Fichier:

PDF, 329 KB

english, 2012

31

Model-Independent Bounds for Option Prices: A Mass Transport Approach

Beiglböck, Mathias, Henry-Labordere, Pierre, Penkner, Friedrich

Journal:

SSRN Electronic Journal

Année:

2011

Langue:

english

Fichier:

PDF, 456 KB

english, 2011

32

Utility Maximization, Risk Aversion, and Stochastic Dominance

Muhle-Karbe, Johannes, Beiglböck, Mathias, Temme, Johannes

Journal:

SSRN Electronic Journal

Année:

2011

Langue:

english

Fichier:

PDF, 534 KB

english, 2011

33

Dual attainment for the martingale transport problem

Beiglböck, Mathias, Lim, Tongseok, Obłój, Jan

Journal:

Année:

2019

Langue:

english

Fichier:

PDF, 208 KB

english, 2019

34

Some new results in multiplicative and additive Ramsey theory

Beiglböck, Mathias, Bergelson, Vitaly, Hindman, Neil, Strauss, Dona

Journal:

Transactions of the American Mathematical Society

Année:

2008

Fichier:

PDF, 437 KB

2008