Articles
Published Papers
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Sensitivity Analysis of Distributionally Robust BSDEs and RBSDEs
Sensitivity analysis for distributionally robust backward stochastic differential equations and reflected BSDEs under drift reference-measure uncertainty.
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First-Order Martingale Model Risk and Semi-Static Hedging
First-order distributionally robust sensitivities for model risk under martingale and first-marginal constraints, with explicit semi-static hedging characterizations.
Preprints
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Model Risk Static-Hedging: A Constrained Distributionally Robust Optimization Approach
Static hedging and model risk sensitivity under marginal and martingale constraints, using a constrained distributionally robust optimization framework.
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Higher-Order Sensitivity Analysis of Wasserstein and Adapted Wasserstein Distributionally Robust Optimization Problems
Higher-order sensitivity expansions for Wasserstein and adapted Wasserstein distributionally robust optimization, including second-order formulas and martingale constraints.
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Projected McKean--Vlasov Dynamics for Entropic Weak Optimal Transport
Entropy-regularized weak optimal transport with conditional-law costs, adapted Wasserstein geometry, projected McKean--Vlasov dynamics, convergence, particle approximations, and numerical examples.
PhD Manuscript
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PhD Manuscript
Doctoral manuscript in applied mathematics on probability, optimal transport, martingale optimal transport, model risk, and distributionally robust optimization.