At first glance, the delivery of building materials to construction sites might not seem to have much in common with the calibration of derivatives pricing models. However, both problems can be solved ...

Even the most highly traded derivatives can have illiquid points that create gaps in the implied volatility surfaces traders use for pricing. When those illiquid points are surrounded by liquid points ...

Over the past decades, optimal transport theory has found broad applications across both applied and theoretical fields. A central role is played by the so-called fundamental theorem of optimal ...