Path-Space Model Risk via Signature-Induced Optimal Transport
Updated
Updated · arxiv.org · Jul 23
Path-Space Model Risk via Signature-Induced Optimal Transport
1 articles · Updated · arxiv.org · Jul 23
Summary
Researchers have introduced a signature-induced optimal transport framework for assessing path-space model risk in finance and insurance.
The method uses path signatures to quantify discrepancies between stochastic models, enabling explicit robust bounds for expectations and probabilities under model uncertainty.
This approach aims to provide reusable, interpretable, and computationally tractable tools for model risk management, especially for complex path-dependent financial products.