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An Invitation to Wasserstein Distance in Financial Risk Measures

  • Hung T. Nguyen

摘要

While the Wasserstein distance between probability measures is an emerging metric sitting among many current domains of applications of data science, such as Machine Learning, Statistical Optimal Transport, and Quantum Uncertainty, we emphasize in this tutorial its useful role in financial risk analysis. We provide its history, its motivation and its foundations, especially for those who are not yet familiar with it.