We provide a survey of recent results on model calibration by Optimal Transport. We present the general framework and then discuss the calibration of local, and local-stochastic, volatility models to European options, the joint VIX/SPX calibration problem as well as calibration to some...

This paper investigates the impacts of transshipment between overconfident newsvendors who perceive the expected outcome of an uncertain event as more certain than it actually is. The conventional wisdom is that transshipment is a risk-pooling strategy for improving newsvendors’ performance....

Purpose: This research aims at developing a comprehensive transshipment solution leading to additional opportunities of transshipment from small inland vessels throughout the West German canal network and, thereby, extending the existing capacities consisting of container bridges and reach...

In this paper, we describe a novel iterative procedure called SISTA to learn the underlying cost in optimal transport problems. SISTA is a hybrid between two classical methods, coordinate descent ("S"-inkhorn) and proximal gradient descent ("ISTA"). It alternates between a phase of exact...

Humanitarian relief operations rarely proceed smoothly and disruptions as, e.g., the outbreak of an epidemic or aftershocks, are common. Such situations are known as overlapping disasters. Relief organizations have to deal with the disruptions while at the same time the ongoing relief operation...