#2245. Weak transport for non-convex costs and model-independence in a fixed-income market

August 2026publication date
Proposal available till 30-05-2025
5 total number of authors per manuscript5020 $

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Journal’s subject area:
Finance;
Economics and Econometrics;
Accounting;
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Abstract:
We consider a model-independent pricing problem in a fixed-income market and show that it leads to a weak optimal transport problem as introduced by Gozlan et al. We use this to characterize the extremal models for the pricing of caplets on the spot rate and to establish a first robust super-replication result that is applicable to fixed-income markets. In an independent section, we establish that weak transport problems for general costs can be reduced to equivalent problems that do satisfy the convexity assumption, extending the scope of weak transport theory.
Keywords:
fixed-income markets; robust pricing and hedging; weak transport problem

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