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Superhedging and Dynamic Risk Measures under Volatility Uncertainty

Citations

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Cited by:

  1. Jakv{s}a Cvitani'c & Dylan Possamai & Nizar Touzi, 2014. "Moral Hazard in Dynamic Risk Management," Papers 1406.5852, arXiv.org, revised Mar 2015.
  2. Felix-Benedikt Liebrich & Max Nendel, 2020. "Separability vs. robustness of Orlicz spaces: financial and economic perspectives," Papers 2009.09007, arXiv.org, revised May 2021.
  3. Felix-Benedikt Liebrich & Marco Maggis & Gregor Svindland, 2020. "Model Uncertainty: A Reverse Approach," Papers 2004.06636, arXiv.org, revised Mar 2022.
  4. Jakša Cvitanić & Dylan Possamaï & Nizar Touzi, 2017. "Moral Hazard in Dynamic Risk Management," Management Science, INFORMS, vol. 63(10), pages 3328-3346, October.
  5. Yan Dolinsky, 2013. "Hedging of Game Options under Model Uncertainty in Discrete Time," Papers 1304.3574, arXiv.org.
  6. Patrick Beissner, 2019. "Coherent-Price Systems and Uncertainty-Neutral Valuation," Risks, MDPI, vol. 7(3), pages 1-18, September.
  7. Dolinsky, Yan & Zouari, Jonathan, 2021. "The value of insider information for super-replication with quadratic transaction costs," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 394-416.
  8. Francesca Biagini & Andrea Mazzon & Katharina Oberpriller, 2023. "Multi-dimensional fractional Brownian motion in the G-setting," Papers 2312.12139, arXiv.org, revised Aug 2024.
  9. Neufeld, Ariel & Nutz, Marcel, 2014. "Measurability of semimartingale characteristics with respect to the probability law," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3819-3845.
  10. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2021. "Duality theory for robust utility maximisation," Finance and Stochastics, Springer, vol. 25(3), pages 469-503, July.
  11. Francesca Biagini & Thomas Reitsam, 2021. "A dynamic version of the super-replication theorem under proportional transaction costs," Papers 2107.02628, arXiv.org.
  12. Francesca Biagini & Lukas Gonon & Thomas Reitsam, 2023. "Neural network approximation for superhedging prices," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 146-184, January.
  13. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2017. "Pathwise superhedging on prediction sets," Papers 1711.02764, arXiv.org, revised Oct 2019.
  14. Beißner, Patrick, 2013. "Coherent Price Systems and Uncertainty-Neutral Valuation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80010, Verein für Socialpolitik / German Economic Association.
  15. Marcel Nutz, 2014. "Robust Superhedging with Jumps and Diffusion," Papers 1407.1674, arXiv.org, revised Jul 2015.
  16. Peter Bank & Yan Dolinsky & Selim Gokay, 2014. "Super-replication with nonlinear transaction costs and volatility uncertainty," Papers 1411.1229, arXiv.org, revised Jun 2015.
  17. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2020. "Pathwise superhedging on prediction sets," Finance and Stochastics, Springer, vol. 24(1), pages 215-248, January.
  18. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and duality in nondominated discrete-time models," Papers 1305.6008, arXiv.org, revised Mar 2015.
  19. Ariel Neufeld & Marcel Nutz, 2012. "Superreplication under Volatility Uncertainty for Measurable Claims," Papers 1208.6486, arXiv.org, revised Apr 2013.
  20. Beißner, Patrick, 2016. "Radner Equilibria under Ambiguous Volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.
  21. Francesca Biagini & Yinglin Zhang, 2017. "Reduced-form framework under model uncertainty," Papers 1707.04475, arXiv.org, revised Mar 2018.
  22. Nutz, Marcel & van Handel, Ramon, 2013. "Constructing sublinear expectations on path space," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 3100-3121.
  23. Nutz, Marcel, 2015. "Robust superhedging with jumps and diffusion," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4543-4555.
  24. Dylan Possamai & Xiaolu Tan & Chao Zhou, 2015. "Stochastic control for a class of nonlinear kernels and applications," Papers 1510.08439, arXiv.org, revised Jul 2017.
  25. Yan Dolinsky & Jonathan Zouari, 2019. "The Value of Insider Information for Super--Replication with Quadratic Transaction Costs," Papers 1910.09855, arXiv.org, revised Sep 2020.
  26. Francesca Biagini & Katharina Oberpriller, 2020. "Reduced-form setting under model uncertainty with non-linear affine processes," Papers 2006.14307, arXiv.org, revised Jun 2020.
  27. Francesca Biagini & Jacopo Mancin, 2016. "Robust Financial Bubbles," Papers 1602.05471, arXiv.org.
  28. Drapeau, Samuel & Heyne, Gregor & Kupper, Michael, 2015. "Minimal supersolutions of BSDEs under volatility uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2895-2909.
  29. Jaeyoung Sung, 2022. "Optimal contracting under mean-volatility joint ambiguity uncertainties," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 593-642, September.
  30. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2020. "Duality Theory for Robust Utility Maximisation," Papers 2007.08376, arXiv.org, revised Jun 2021.
  31. Marcel Nutz, 2014. "Superreplication under model uncertainty in discrete time," Finance and Stochastics, Springer, vol. 18(4), pages 791-803, October.
  32. Marcel Nutz & Ramon van Handel, 2012. "Constructing Sublinear Expectations on Path Space," Papers 1205.2415, arXiv.org, revised Apr 2013.
  33. Marcel Nutz, 2013. "Superreplication under Model Uncertainty in Discrete Time," Papers 1301.3227, arXiv.org, revised Feb 2014.
  34. Romain Blanchard & Laurence Carassus, 2017. "Convergence of utility indifference prices to the superreplication price in a multiple-priors framework," Papers 1709.09465, arXiv.org, revised Oct 2020.
  35. Thomas Breuer & Imre Csiszar, 2013. "Measuring Model Risk," Papers 1301.4832, arXiv.org.
  36. Luo, Peng & Wang, Falei, 2015. "On the comparison theorem for multi-dimensional G-SDEs," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 38-44.
  37. Francesca Biagini & Lukas Gonon & Thomas Reitsam, 2021. "Neural network approximation for superhedging prices," Papers 2107.14113, arXiv.org.
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