Rough Martingale Optimal Transport: Theory, Implementation, and Regulatory Applications for Non-Modelable Risk Factors

By Sri Sairam Gautam B., Isha

Published 2026-01-24

Everscope rating

1979.3

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Rough Martingale Optimal Transport (RMOT). Problem types: Optimization, Risk Management, Portfolio Optimization, Density Estimation, Parameter Estimation / Identifiability, Model Calibration, Regulatory Capital Calculation, Derivatives Pricing (Exotic/Basket Options), Correlation Estimation, Extrapolation / Bounds Computation.

arXiv:2602.00097 · Paper rankings

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