Search Results for author: Mathias Beiglböck

Found 5 papers, 0 papers with code

The geometry of financial institutions -- Wasserstein clustering of financial data

no code implementations5 May 2023 Lorenz Riess, Mathias Beiglböck, Johannes Temme, Andreas Wolf, Julio Backhoff

The increasing availability of granular and big data on various objects of interest has made it necessary to develop methods for condensing this information into a representative and intelligible map.

Clustering

Robust models of SARS-CoV-2 heterogeneity and control

no code implementations23 Sep 2021 Kory D. Johnson, Annemarie Grass, Daniel Toneian, Mathias Beiglböck, Jitka Polechová

Our simulation functions as a dynamic compartment model in which an individual's history of infection, vaccination, and possible reinfection all play a role in their resistance to further infections.

From Bachelier to Dupire via Optimal Transport

no code implementations23 Jun 2021 Mathias Beiglböck, Gudmund Pammer, Walter Schachermayer

Famously mathematical finance was started by Bachelier in his 1900 PhD thesis where - among many other achievements - he also provides a formal derivation of the Kolmogorov forward equation.

Disease Momentum: Estimating the Reproduction Number in the Presence of Superspreading

no code implementations16 Dec 2020 Kory D. Johnson, Mathias Beiglböck, Manuel Eder, Annemarie Grass, Joachim Hermisson, Gudmund Pammer, Jitka Polechová, Daniel Toneian, Benjamin Wölfl

Our models demonstrate that the estimation uncertainty of the reproduction number increases with superspreading and that this improves the performance of prediction intervals.

Prediction Intervals

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