arXiv subjects

Antonio Marini

Publications and source records attributed to Antonio Marini.

4 recordsLinked to original sources

arXiv2026

Fixed Points for the $q$-Bass Martingale: Existence, Stability, and Convergence

We establish existence, uniqueness, stability, and convergence results for one-dimensional $q$-Bass martingales, characterized as the martingales with prescribed initial and terminal marginals whose transition kernels are closest to a reference measure $q$. Their existence is equivalent to the solvability of a fixed-point problem for probability distributions. Building on Acciaio and Marini (2026), that requires the first marginal to be supported on finitely many points, we study the case of general marginals in convex order. Under the assumption that $q\ll\lambda$, we prove existence, uniqueness and stability of fixed-point distributions, $\mathcal{W}_\infty$-convergence of the fixed-point iteration, and support-diameter estimates. We also extend the martingale Benamou-Brenier formula from Brownian motion to any additive reference process $X$ and show that the corresponding $X$-Bass martingale is optimal whenever it exists, with an interpretation as an adapted Wasserstein projection of $X$.

math.PR↗

arXiv2026

Existence of $q$-Bass martingales in the semidiscrete setting

The class of $q$-Bass martingales provides a natural answer to a central question in martingale optimal transport: how to construct martingales with prescribed initial and terminal marginals whose transition kernel remains as close as possible to a given reference measure $q$. We prove the existence of $q$-Bass martingales when the initial marginal is supported on finitely many atoms, and establish uniqueness, up to an additive translation constant, of the associated Bass measure. Our approach is geometric and relies on the analysis of a suitable parametrization of convex polygonal chains.

math.PR↗

arXiv2026

Dynamic reinsurance via martingale transport

We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using techniques from martingale optimal transport, we show that, under suitable assumptions, the problem admits a tractable solution analogous to the Bass martingale. We first consider the case where the insurer wants to match a given terminal distribution of the surplus process, and then relax this condition by only requiring certain moment or risk-based constraints.

q-fin.RM↗

arXiv2025

Calibration of the Bass Local Volatility model

The Bass local volatility model introduced by Backhoff-Veraguas, Beiglböck, Huesmann, and Källblad is a Markov model perfectly calibrated to vanilla options at finitely many maturities, that approximates the Dupire local volatility model. Conze and Henry-Labordère show that its calibration can be achieved by solving a fixed-point equation. In this paper we complement the analysis and show existence and uniqueness of the solution to this equation, and that the fixed-point iteration scheme converges at a linear rate.

q-fin.MF↗