This is a continuation of our accompanying paper [18]. We provide an alternative proof of the monotonicity principle for the optimal Skorokhod embedding problem established in BeiglbÃ¶ck, Cox andâ€¦ (More)

The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this paper, we consider anâ€¦ (More)

In this article we propose a generalisation of the recent work of Gatheral-Jacquier [11] on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively theâ€¦ (More)

The martingale optimal transport aims to optimally transfer a probability measure to another along the class of martingales. This problem is mainly motivated by the robust superhedging of exoticâ€¦ (More)