VI Bogachev, “Kantorovich problem of optimal transportation of measures: new directions of
research”, Uspekhi Mat. Nauk, 77:5(467) (2022), 3–52; Russian Math. Surveys, 77:5 (2022) …

In this paper we derive robust super-and subhedging dualities for contingent claims that can
depend on several underlying assets. In addition to strict super-and subhedging, we also …

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 …

We consider robust pricing and hedging for options written on multiple assets given market
option prices for the individual assets. The resulting problem is called the multimarginal …

В работе дан обзор исследований последнего десятилетия и приведены новые
результаты по различным новым модификациям классической задачи Канторовича …

We reconsider the microeconomic foundations of financial economics. Motivated by the
importance of Knightian uncertainty in markets, we present a model that does not carry any …

We provide a model-free pricing–hedging duality in continuous time. For a frictionless
market consisting of dd risky assets with continuous price trajectories, we show that the …

The aim of this work is to give an overview on nonlinear expectations and to relate them to
other concepts that describe model uncertainty or imprecision in a probabilistic framework …

The classical duality theory of Kantorovich (CR (Doklady) Acad Sci URSS (NS) 37: 199–201,
1942) and Kellerer (Z Wahrsch Verw Gebiete 67 (4): 399–432, 1984) for classical optimal …

We unify and establish equivalence between the pathwise and the quasi-sure approaches
to robust modelling of financial markets in finite discrete time. In particular, we prove a …