Stephan Eckstein
- Robust pricing and hedging of options on multiple assets and its\n numerics
2019/09/09 by Stephan Eckstein, Gaoyue Guo, Eckstein, Stephan +5 · 5 citations
Business, Management and Accounting · Decision Sciences · Energy · #Advanced Queuing Theory Analysis #Computational Finance (q-fin.CP) #Energy, Environment, and Transportation Policies #FOS: Economics and business #FOS: Mathematics #Forecasting Techniques and Applications #Optimization and Control (math.OC) #Probability (math.PR)
- Computational methods for adapted optimal transport
2022/03/09 by Stephan Eckstein, Gudmund Pammer, Eckstein, Stephan +1 · 5 citations
Engineering · #Water resources management and optimization
- Optimal transport and Wasserstein distances for causal models
2023/03/24 by Patrick Cheridito, Stephan Eckstein, Cheridito, Patrick +1 · 5 citations
Mathematics · Medicine · Physics and Astronomy · #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Neurological and metabolic disorders #Noncommutative and Quantum Gravity Theories #Optimization and Control (math.OC) #Probability (math.PR) #Statistics Theory (math.ST)
- Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
2017/09/02 by Daniel Bartl, Michael Kupper, Bartl, Daniel +7 · 2 citations
Decision Sciences · Economics, Econometrics and Finance · #28A35 #49N15 #60E15 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Monetary Policy and Economic Impact #Optimization and Control (math.OC) #Probability (math.PR) #Risk and Portfolio Optimization
- Computation of optimal transport and related hedging problems via\n penalization and neural networks
2018/02/23 by Stephan Eckstein, Eckstein, Stephan, Michael Kupper +1 · 2 citations
Economics, Econometrics and Finance · Energy · #Energy, Environment, and Transportation Policies #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Machine Learning (stat.ML) #Market Dynamics and Volatility #Mathematical Finance (q-fin.MF) #Monetary Policy and Economic Impact #Optimization and Control (math.OC)
- Convergence Rates for Regularized Optimal Transport via Quantization
2022/08/30 by Stephan Eckstein, Marcel Nutz, Eckstein, Stephan +1 · 3 citations
Mathematics · #Geometric Analysis and Curvature Flows #Markov Chains and Monte Carlo Methods #Nonlinear Partial Differential Equations
- MinMax Methods for Optimal Transport and Beyond: Regularization, Approximation and Numerics
2020/10/22 by Luca De Gennaro Aquino, Stephan Eckstein, Aquino, Luca De Gennaro +1 · 1 citation
Computer Science · Physics and Astronomy · #Adversarial Robustness in Machine Learning #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (stat.ML) #Model Reduction and Neural Networks #Neural Networks and Applications #Optimization and Control (math.OC) #Probability (math.PR)
- Time-Causal VAE: Robust Financial Time Series Generator
2024/11/05 by Beatrice Acciaio, Acciaio, Beatrice, Stephan Eckstein +3 · 3 citations
Computer Science · Decision Sciences · #37M10 #68T07 #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Machine Learning (cs.LG) #Stock Market Forecasting Methods #Time Series Analysis and Forecasting