From Bachelier to Dupire via optimal transport
回顾了Bachelier和Dupire在数学金融中的里程碑工作，并强调最优传输理论在其中的作用，适合对金融数学历史与理论感兴趣的读者。
Abstract Famously, mathematical finance was started by Bachelier in his 1900 PhD thesis where – among many other achievements – he also provided a formal derivation of the Kolmogorov forward equation. This also forms the basis for Dupire’s (again formal) solution to the problem of finding an arbitrage-free model calibrated to a given volatility surface. The latter result has rigorous counterparts in the theorems of Kellerer and Lowther. In this survey article, we revisit these hallmarks of stochastic finance, highlighting the role played by some optimal transport results in this context.