SBBTS creates a diffusion process that jointly models drift and stochastic volatility in financial time series via a tractable decomposition into conditional transport problems, recovering parameters missed by prior Schrödinger bridge methods and improving downstream ML performance on S&P 500 data.
Bass construction with multi-marginals: Light- speed computation in a new local volatility model.SSRN Electronic Journal
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SBBTS: A Unified Schr\"odinger-Bass Framework for Synthetic Financial Time Series
SBBTS creates a diffusion process that jointly models drift and stochastic volatility in financial time series via a tractable decomposition into conditional transport problems, recovering parameters missed by prior Schrödinger bridge methods and improving downstream ML performance on S&P 500 data.