Johannes Wiesel
Assistant Professor
Address:
7206 Wean Hall
Department of Mathematical Sciences
Carnegie Mellon University
5000 Forbes Avenue
Pittsburgh, PA 15213
412-268-2545
Education
Ph.D., University of Oxford
Prior Appointment:
- Assistant Professor in the Department of Statistics at Columbia University, 2020-2023
Research
My research focuses on mathematical finance and mathematical statistics with a special emphasis on optimal transport of stochastic processes. I am particularly interested in the robust approach to mathematical finance, which does not start with an a priori model but rather with the information available in the markets. My goal is to establish new connections to the theory of optimal transport on the one hand and robust statistics as well as machine learning on the other, in order to develop a universal toolbox for the implementation of robust and time-consistent trading strategies and risk assessment.
Select Publications
J. Wiesel and E. Zhang. An optimal transport based characterization of convex order, 2023+. Depend. Model. (forthcoming). Available at arXiv:2207.01235.
D. Bartl and J. Wiesel. Sensitivity of multi-period optimization problems in adapted Wasserstein distance, 2023+. SIAM J. Financial Math. (forthcoming). Available at arXiv:2208.05656.
J. Wiesel. Continuity of the martingale optimal transport problem on the real line, 2023+. Ann. Appl. Probab. (forthcoming). Available at arXiv:1905.04574.
M. Nutz and J. Wiesel. Stability of Schrödinger Potentials and Convergence of Sinkhorn's Algorithm, 2022+. Ann. Probab. (forthcoming). Available at arXiv:2201.10059.
M. Nutz and J. Wiesel. Entropic Optimal Transport: Convergence of Potentials, 2022. Probab. Theory Relat. Fields, 184, 401–424. Available at arXiv:2104.11720.
J. Wiesel. Measuring association with Wasserstein distances, 2022. Bernoulli 28(4), 2816-2832. Available at arXiv:2102.00356.
J. Backhoff, D. Bartl, M. Beiglböck, J. Wiesel. Estimating processes in adapted Wasserstein distance, 2022. Ann. Appl. Probab. 32 (1), 529-550. Available at arXiv:2002.07261.
D. Bartl, S. Drapeau, J. Obloj, J. Wiesel. Sensitivity analysis of Wasserstein distributionally robust optimisation problems, 2021. Proc. Roy. Soc. A 477:20210176. Available at arXiv:2006.12022.
J. Obloj and J. Wiesel. Robust estimation of superhedging prices, 2021. Ann. Stat. 49(1), 508-530. Available at arXiv:1807.04211.