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Manuel Hasenbichler

Publications and source records attributed to Manuel Hasenbichler.

3 recordsLinked to original sources

A weak transport approach to the Schr\"odinger-Bass bridge

We study the Schr\"odinger-Bass problem, a one-parameter family of semimartingale optimal transport problems indexed by $\beta>0$, whose limiting regimes interpolate between the classical Schr\"odinger bridge, the Brenier-Strassen problem, and, after rescaling, the martingale Benamou-Brenier (Bass) problem. For each $\beta>0$, we prove that the dynamic Schr\"odinger-Bass problem is equivalent to a static weak optimal transport (WOT) problem with explicit cost $C_{\mathrm{SB}}^\beta$. This yields primal and dual attainment, as well as a structural characterization of the optimal semimartingales. The cost $C_{\mathrm{SB}}^\beta$ is constructed via infimal convolution and deconvolution of the Schr\"odinger cost with the Wasserstein distance. In a broader setting, we show that such infimal convolutions preserve the WOT structure and inherit continuity, coercivity, and stability of both values and optimizers with respect to the marginals. Building on this formulation, we propose a dual ascent algorithm for numerical computation. We establish monotone improvement of the dual objective and convergence of the iteration to the unique optimizer under suitable integrability assumptions.

math.PR

The Martingale Sinkhorn Algorithm

We develop a numerical method for the martingale analogue of the Benamou--Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which is closest to the Brownian motion. Recent contributions have established existence of the optimal martingale under finite second moment assumptions on the marginals, but numerical methods exist only in the one-dimensional setting. We introduce an iterative scheme, a martingale analogue of the celebrated Sinkhorn algorithm, and prove that it yields a Bass potential in arbitrary dimension under minimal assumptions. In particular, we show that this holds when the marginals have finite moments of order $p > 1$, thereby extending the known theory beyond the finite-second-moment regime. The proof relies on a strict descent property for the dual value of the martingale Benamou--Brenier problem. While the descent property admits a direct verification in the case of compactly supported marginals, obtaining uniform control on the iterates without assuming compact support is substantially more delicate and constitutes the main technical challenge.

q-fin.CP

The Mean Field Market Model Revisited

In this paper, we present an alternative perspective on the mean-field LIBOR market model introduced by Desmettre et al. in arXiv:2109.10779. Our novel approach embeds the mean-field model in a classical setup, but retains the crucial feature of controlling the term rate's variances over large time horizons. This maintains the market model's practicability, since calibrations and simulations can be carried out efficiently without nested simulations. In addition, we show that our framework can be directly applied to model term rates derived from SOFR, ESTR or other nearly risk-free overnight short-term rates -- a crucial feature since many IBOR rates are gradually being replaced. These results are complemented by a calibration study and some theoretical arguments which allow to estimate the probability of unrealistically high rates in the presented market models.

q-fin.MF