  Following closely the construction of the Schrodinger bridge, we build a new
class of Stochastic Volatility Models exactly calibrated to market instruments
such as for example Vanillas, options on realized variance or VIX options.
These models differ strongly from the well-known local stochastic volatility
models, in particular the instantaneous volatility-of-volatility of the
associated naked SVMs is not modified, once calibrated to market instruments.
They can be interpreted as a martingale version of the Schrodinger bridge. The
numerical calibration is performed using a dynamic-like version of the Sinkhorn
algorithm. We finally highlight a striking relation with Dyson non-colliding
Brownian motions.

Computational Finance;Probability