Causal Optimal Transport in Mathematical Finance

Results

Publications

  • L. Riess, J. Backhoff, M. Beiglböck, J. Temme & A. Wolf: “The geometry of financial institutions -- Wasserstein clustering of financial data”. Math. Fin. Econ., 19, 877–900, 2025. doi:10.1007/s11579-025-00394-2
  • J. Backhoff-Veraguas, W. Schachermayer, B. Tschiderer: “The Bass functional of martingale transport”. Ann. Appl. Probab. 35(6): 4282-4301, 2025. doi:10.1214/25-AAP2221
  • J. Backhoff, G. Pammer, W. Schachermayer: “The L2 gradient flow of the Bass functional in martingale optimal transport”. Math. Finan. Econ. 19, 665–686, 2025. doi:10.1007/s11579-025-00395-1
  • J. Backhoff, G. Loeper, J. Obloj: “Geometric Martingale Benamou-Brenier transport and geometric Bass martingales”. Proc. Amer. Math. Soc. 153 (11): 4945-4960, 2025. doi:10.1090/proc/17252
  • B. Acciaio, J. Backhoff-Veraguas, G. Pammer: “Quantitative Fundamental Theorem of Asset Pricing”. Mathematical Finance, 35: 636-660, 2025. doi:10.1111/mafi.12457
  • J. Backhoff-Veraguas, M. Beiglboeck: “The most exciting game”. Electron. Commun. Probab. 29: 1-12, 2024. doi:10.1214/24-ECP574
  • J. Backhoff, J. Fontbona, G. Rios, F. Tobar: “Stochastic Gradient Descent in Wasserstein Space”. J. Appl. Prob. 62(1): 15-43, 2025. doi:10.1017/jpr.2024.39
  • J. Backhoff-Veraguas, C. Unterberger: “On the specific relative entropy between martingale diffusions on the line”. Electron. Commun. Probab. 28: 1-12, 2023. doi:10.1214/23-ECP548

Preprints

  • N. Berestycki, J. Klein: Spectral expansion of LQG heat trace and KPZ scaling. Preprint, arXiv.2606.26958
  • J. Backhoff, E. Bayraktar, I. Ekren, A. Zitridis: Analytical Approach to Continuous-Time Causal Optimal Transport. Preprint, arXiv.2605.19978
  • J. Backhoff-Veraguas, M. Beiglböck, W. Schachermayer, B. Tschiderer: Existence of Bass martingales and the martingale Benamou Brenier problem in Rd. To appear in Annals of Probability, arXiv.2306.11019
  • J. Backhoff, M. Beiglböck, G. Bifronte, A. Ley: Bridging classical and martingale Schrödinger bridges. Preprint, arXiv.2604.01299
  • J. Backhoff, X. Zhang: Reciprocal Specific Relative Entropy between Continuous Martingales. To appear in Electron. Commun. Probab., arXiv.2602.14776
  • J. Backhoff-Veraguas, X. Zhang: Specific Wasserstein divergence between continuous martingales. To appear in Mathematics of Operations Research, arXiv.2404.19672
  • J. Backhoff, Z. Wang, X. Zhang: Exciting games and Monge-Ampère equations. Preprint, arXiv:2412.01995
  • J. Backhoff, E.K. Bellotto: Multidimensional specific relative entropy between continuous martingales. Preprint, arXiv:2411.11408