A0749
Title: Copula and optimal transport in finance
Authors: Jessica Wai Yin Leung - Monash University (Australia) [presenting]
Robert James - The University of Sydney (Australia)
Artem Prokhorov - University of Sydney (Australia)
Abstract: The optimal mass transport problem seeks the most cost-efficient way to transform one mass distribution into another. This problem has been studied extensively in countless applications such as economics, transportation modelling, and natural language processing. A copula-based approach is studied for the optimal transport problem, and its application is considered in dependence modelling in financial markets.
