Publications and preprints
R. Han, C. Rush and J. Wiesel. Max-sliced Wasserstein concentration and uniform ratio bounds of empirical measures on RKHS, 2024.
Available at ArXiv.2405.13153.
J. Blanchet, J. Wiesel, E. Zhang and Z. Zhang. Empirical martingale projections via the adapted Wasserstein distance, 2024.
Available at ArXiv.2401.12197.
M. Nutz and J. Wiesel. On the Martingale Schrödinger Bridge between Two Distributions, 2024.
Available at ArXiv.2401.05209.
M. Larsson, J. Park and J. Wiesel. On concentration of the empirical measure for general transport costs, 2023.
Available at ArXiv.2305.18636.
J. Montiel Olea, C. Rush, A. Velez and J. Wiesel. On the generalization error of norm penalty linear regression models, 2022.
Available at ArXiv.2211.07608.
S. Cohen, M. Tegner and J. Wiesel. Bounding quantiles of Wasserstein distance between true and empirical measure, 2019.
Working paper. Available at arXiv:1907.02006.
L. Carassus and J. Wiesel. Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity, 2024+.
Finance Stoch. (forthcoming), Available at ArXiv.2306.01503.
J. Wiesel and E. Zhang. An optimal transport based characterization of convex order, 2023.
Depend. Model. 11(1). Available at ArXiv:2207.01235.
D. Bartl and J. Wiesel. Sensitivity of multi-period optimization problems in adapted Wasserstein distance, 2023+.
SIAM J. Financial Math. (forthcoming). Available at ArXiv:2208.05656.
J. Wiesel. Continuity of the martingale optimal transport problem on the real line, 2023+.
Ann. Appl. Probab. 33(6A). 4645-4692. Available at arXiv:1905.04574.
M. Nutz, J. Wiesel, L. Zhao. Martingale Schrödinger Bridges and Optimal Semistatic Portfolios, 2023.
Finance Stoch. 27, 233-254. Available at ArXiv:2204.12250.
M. Nutz and J. Wiesel. Stability of Schrödinger Potentials and Convergence of Sinkhorn's Algorithm, 2022+.
Ann. Probab. (forthcoming). Available at ArXiv:2201.10059.
M. Nutz, J. Wiesel, L. Zhao. Limits of Semistatic Trading Strategies, 2022.
Math. Finance 33(1), 185-205. Available at ArXiv:2204.12251.
M. Nutz and J. Wiesel. Entropic Optimal Transport: Convergence of Potentials, 2022.
Probab. Theory Relat. Fields, 184, 401–424. Available at arXiv:2104.11720.
J. Wiesel. Measuring association with Wasserstein distances, 2022.
Bernoulli 28(4), 2816-2832. Available at arXiv:2102.00356.
J. Wiesel. On a Lusin theorem for capacities, 2022.
Proc. Am. Math. Soc. 150 (03), 1351-1360. Available at arXiv:2010.09491.
J. Backhoff, D. Bartl, M. Beiglböck, J. Wiesel. Estimating processes in adapted Wasserstein distance, 2022.
Ann. Appl. Probab. 32 (1), 529-550. Available at arXiv:2002.07261.
J. Obloj and J. Wiesel. Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets, 2021.
Math. Finance 31(4):1454-1493. Available at arXiv:2105.00935.
D. Bartl, S. Drapeau, J. Obloj, J. Wiesel. Sensitivity analysis of Wasserstein distributionally robust optimisation problems, 2021.
Proc. Roy. Soc. A 477:20210176. Available at arXiv:2006.12022.
J. Obloj and J. Wiesel. Robust estimation of superhedging prices, 2021.
Ann. Stat. 49(1), 508-530. Available at arXiv:1807.04211.
J. Obloj and J. Wiesel. A unified framework to modelling financial markets in discrete time, 2021.
Finance Stoch. 25(3):427-468. Available at arXiv:1808.06430.
L. Carassus, J. Obloj and J. Wiesel. The robust superreplication problem: a dynamic approach, 2019.
SIAM J. Financial Math. 10(4): 907–941. Available at arXiv:1812.11201.
J. Wiesel, Data driven approach to robust pricing, hedging and risk management and its dynamics in time, 2020.