Computation of optimal transport and related hedging problems via penalization and neural networks

Preprint English OPEN
Eckstein, Stephan ; Kupper, Michael (2018)
  • Subject: Mathematics - Optimization and Control | Statistics - Machine Learning | Quantitative Finance - Mathematical Finance

This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks. The core idea is to penalize the optimization problem in its dual formulation and reduce it to a finite dimensional one w... View more
  • References (40)
    40 references, page 1 of 4

    [1] M. Abadi, A. Agarwal, P. Barham, E. Brevdo, Z. Chen, C. Citro, G. S. Corrado, A. Davis, J. Dean, M. Devin, S. Ghemawat, I. Goodfellow, A. Harp, G. Irving, M. Isard, Y. Jia, R. Jozefowicz, L. Kaiser, M. Kudlur, J. Levenberg, D. Mané, R. Monga, S. Moore, D. Murray, C. Olah, M. Schuster, J. Shlens, B. Steiner, I. Sutskever, K. Talwar, P. Tucker, V. Vanhoucke, V. Vasudevan, F. Viégas, O. Vinyals, P. Warden, M. Wattenberg, M. Wicke, Y. Yu, and X. Zheng. TensorFlow: Large-scale machine learning on heterogeneous systems, 2015. Software available from tensorflow.org.

    [2] A. Alfonsi, J. Corbetta, and B. Jourdain. Sampling of probability measures in the convex order and approximation of martingale optimal transport problems. 2017.

    [3] M. Arjovsky, S. Chintala, and L. Bottou. Wasserstein GAN. arXiv preprint arXiv:1701.07875, 2017.

    [4] P. Artzner, F. Delbaen, J.-M. Eber, and D. Heath. Coherent measures of risk. Mathematical Finance, 9(3):203-228, 1999.

    [5] D. Bartl, P. Cheridito, M. Kupper, and L. Tangpi. Duality for increasing convex functionals with countably many marginal constraints. Banach Journal of Mathematical Analysis, 11(1):72-89, 2017.

    [6] D. Bartl, S. Drapeau, and L. Tangpi. Computational aspects of robust optimized certainty equivalents. arXiv preprint arXiv:1706.10186, 2017.

    [7] D. Bartl, M. Kupper, T. Lux, and A. Papapantoleon. Sharpness of improved Fréchet-Hoeffding bounds: an optimal transport approach. arXiv preprint arXiv:1709.00641, 2017.

    [8] M. Beiglböck, P. Henry-Labordère, and F. Penkner. Model-independent bounds for option prices: A mass transport approach. Finance and Stochastics, 17(3):477-501, 2013.

    [9] A. Ben-Tal and M. Teboulle. An old-new concept of convex risk measures: The optimized certainty equivalent. Mathematical Finance, 17(3):449-476, 2007.

    [10] J.-D. Benamou, G. Carlier, M. Cuturi, L. Nenna, and G. Peyré. Iterative Bregman projections for regularized transportation problems. SIAM Journal on Scientific Computing, 37(2):A1111- A1138, 2015.

  • Related Research Results (1)
  • Metrics
    No metrics available
Share - Bookmark