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Arbitrage and duality in nondominated discrete-time models
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Cited by:
- Felix-Benedikt Liebrich & Max Nendel, 2020. "Separability vs. robustness of Orlicz spaces: financial and economic perspectives," Papers 2009.09007, arXiv.org, revised May 2021.
- Miklós Rásonyi & Andrea Meireles‐Rodrigues, 2021. "On utility maximization under model uncertainty in discrete‐time markets," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 149-175, January.
- Beatrice Acciaio & Martin Larsson & Walter Schachermayer, 2016. "The space of outcomes of semi-static trading strategies need not be closed," Papers 1606.00631, arXiv.org.
- Matteo Burzoni & Marco Maggis, 2019. "Arbitrage-free modeling under Knightian Uncertainty," Papers 1909.04602, arXiv.org, revised Apr 2020.
- Mathias Beiglbock & Marcel Nutz & Nizar Touzi, 2015. "Complete Duality for Martingale Optimal Transport on the Line," Papers 1507.00671, arXiv.org, revised Jun 2016.
- Felix-Benedikt Liebrich & Marco Maggis & Gregor Svindland, 2020. "Model Uncertainty: A Reverse Approach," Papers 2004.06636, arXiv.org, revised Mar 2022.
- Julio Backhoff-Veraguas & Daniel Bartl & Mathias Beiglböck & Manu Eder, 2020. "Adapted Wasserstein distances and stability in mathematical finance," Finance and Stochastics, Springer, vol. 24(3), pages 601-632, July.
- Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging," Papers 1704.04524, arXiv.org.
- Sebastian Herrmann & Florian Stebegg, 2017. "Robust Pricing and Hedging around the Globe," Papers 1707.08545, arXiv.org, revised Apr 2019.
- Laurence Carassus, 2025. "Quasi-sure essential supremum and applications to finance," Finance and Stochastics, Springer, vol. 29(1), pages 219-260, January.
- Alexander Schied & Iryna Voloshchenko, 2015. "Pathwise no-arbitrage in a class of Delta hedging strategies," Papers 1511.00026, arXiv.org, revised Jun 2016.
- Marco Maggis & Thilo Meyer-Brandis & Gregor Svindland, 2016. "The Fatou Closedness under Model Uncertainty," Papers 1610.04085, arXiv.org, revised Oct 2018.
- Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Feb 2019.
- Gianluca Cassese, 2021.
"Complete and competitive financial markets in a complex world,"
Finance and Stochastics, Springer, vol. 25(4), pages 659-688, October.
- Gianluca Cassese, 2020. "Complete and Competitive Financial Markets in a Complex World," Working Papers 435, University of Milano-Bicocca, Department of Economics, revised Mar 2020.
- Gianluca Cassese, 2020. "Complete and competitive financial markets in a complex world," Papers 2003.01055, arXiv.org, revised Mar 2021.
- Patrick Beissner, 2019. "Coherent-Price Systems and Uncertainty-Neutral Valuation," Risks, MDPI, vol. 7(3), pages 1-18, September.
- Ibrahim Ekren & H. Mete Soner, 2016. "Constrained Optimal Transport," Papers 1610.02940, arXiv.org, revised Sep 2017.
- Ariel Neufeld & Mario Sikic, 2017. "Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty," Papers 1711.03875, arXiv.org, revised Apr 2019.
- Erhan Bayraktar & Yu-Jui Huang & Zhou Zhou, 2013. "On hedging American options under model uncertainty," Papers 1309.2982, arXiv.org, revised Apr 2015.
- Huy N. Chau & Miklos Rasonyi, 2018. "Robust utility maximization in markets with transaction costs," Papers 1803.04213, arXiv.org, revised Dec 2018.
- Alessandro Doldi & Marco Frittelli, 2020. "Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality," Papers 2005.12572, arXiv.org, revised Sep 2021.
- Christoph Czichowsky & Raphael Huwyler, 2022. "Robust utility maximisation under proportional transaction costs for c\`adl\`ag price processes," Papers 2211.00532, arXiv.org, revised Aug 2024.
- Laurence Carassus, 2021. "Quasi-sure essential supremum and applications to finance," Papers 2107.12862, arXiv.org, revised Mar 2024.
- Anna Aksamit & Shuoqing Deng & Jan Obl'oj & Xiaolu Tan, 2016. "Robust pricing--hedging duality for American options in discrete time financial markets," Papers 1604.05517, arXiv.org, revised Apr 2017.
- Shuzhen Yang & Wenqing Zhang, 2024. "Asset pricing under model uncertainty with finite time and states," Papers 2408.13048, arXiv.org.
- Anna Aksamit & Zhaoxu Hou & Jan Obl'oj, 2016. "Robust framework for quantifying the value of information in pricing and hedging," Papers 1605.02539, arXiv.org, revised Mar 2018.
- Acciaio, Beatrice & Larsson, Martin & Schachermayer, Walter, 2017. "The space of outcomes of semi-static trading strategies need not be closed," LSE Research Online Documents on Economics 69804, London School of Economics and Political Science, LSE Library.
- Huy N. Chau & Miklós Rásonyi, 2019. "Robust utility maximisation in markets with transaction costs," Finance and Stochastics, Springer, vol. 23(3), pages 677-696, July.
- Beatrice Acciaio & Mathias Beiglboeck & Gudmund Pammer, 2020. "Weak Transport for Non-Convex Costs and Model-independence in a Fixed-Income Market," Papers 2011.04274, arXiv.org, revised Aug 2023.
- Lars Niemann & Thorsten Schmidt, 2021. "A conditional version of the second fundamental theorem of asset pricing in discrete time," Papers 2102.13574, arXiv.org, revised May 2023.
- Alexander M. G. Cox & Annemarie M. Grass, 2023. "Robust option pricing with volatility term structure -- An empirical study for variance options," Papers 2312.09201, arXiv.org.
- Gaoyue Guo & Xiaolu Tan & Nizar Touzi, 2015. "Tightness and duality of martingale transport on the Skorokhod space," Papers 1507.01125, arXiv.org, revised Aug 2016.
- Meriam El Mansour & Emmanuel Lepinette, 2023. "Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty," Papers 2311.08847, arXiv.org.
- Johannes Muhle-Karbe & Marcel Nutz, 2018. "A risk-neutral equilibrium leading to uncertain volatility pricing," Finance and Stochastics, Springer, vol. 22(2), pages 281-295, April.
- Jan Obłój & Johannes Wiesel, 2021. "A unified framework for robust modelling of financial markets in discrete time," Finance and Stochastics, Springer, vol. 25(3), pages 427-468, July.
- Erhan Bayraktar & Yuchong Zhang, 2016.
"Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty,"
Mathematics of Operations Research, INFORMS, vol. 41(3), pages 1039-1054, August.
- Erhan Bayraktar & Yuchong Zhang, 2013. "Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty," Papers 1309.1420, arXiv.org, revised Aug 2015.
- Eva Lutkebohmert & Thorsten Schmidt & Julian Sester, 2021. "Robust deep hedging," Papers 2106.10024, arXiv.org, revised Nov 2021.
- Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Numerical method for model-free pricing of exotic derivatives using rough path signatures," Papers 1905.01720, arXiv.org, revised Feb 2020.
- Johannes Muhle-Karbe & Marcel Nutz, 2016. "A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing," Papers 1612.09152, arXiv.org, revised Jan 2018.
- Huy N. Chau & Masaaki Fukasawa & Miklos Rasonyi, 2021. "Super-replication with transaction costs under model uncertainty for continuous processes," Papers 2102.02298, arXiv.org.
- Nutz, Marcel & Stebegg, Florian & Tan, Xiaowei, 2020. "Multiperiod martingale transport," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1568-1615.
- Nicholas S. Gonchar, 2018. "Martingales and Super-martingales Relative to a Convex Set of Equivalent Measures," Papers 1806.05557, arXiv.org.
- Patrick Cheridito & Michael Kupper & Ludovic Tangpi, 2016. "Duality formulas for robust pricing and hedging in discrete time," Papers 1602.06177, arXiv.org, revised Sep 2017.
- Bruno Bouchard & Marcel Nutz, 2016. "Consistent price systems under model uncertainty," Finance and Stochastics, Springer, vol. 20(1), pages 83-98, January.
- Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017. "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, vol. 21(1), pages 1-64, January.
- Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos, 2016. "Who would invest only in the risk-free asset?," Papers 1608.02446, arXiv.org.
- Matteo Burzoni & Marco Frittelli & Zhaoxu Hou & Marco Maggis & Jan Obłój, 2019. "Pointwise Arbitrage Pricing Theory in Discrete Time," Mathematics of Operations Research, INFORMS, vol. 44(3), pages 1034-1057, August.
- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2014.
"A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty,"
Risks, MDPI, vol. 2(4), pages 1-9, October.
- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2013. "A note on the Fundamental Theorem of Asset Pricing under model uncertainty," Papers 1309.2728, arXiv.org, revised Sep 2014.
- Mathias Beiglböck & Alexander M. G. Cox & Martin Huesmann & Nicolas Perkowski & David J. Prömel, 2017. "Pathwise superreplication via Vovk’s outer measure," Finance and Stochastics, Springer, vol. 21(4), pages 1141-1166, October.
- Tolulope Fadina & Thorsten Schmidt, 2019. "Default Ambiguity," Risks, MDPI, vol. 7(2), pages 1-17, June.
- Erhan Bayraktar & Matteo Burzoni, 2020.
"On the quasi-sure superhedging duality with frictions,"
Finance and Stochastics, Springer, vol. 24(1), pages 249-275, January.
- Erhan Bayraktar & Matteo Burzoni, 2018. "On the quasi-sure superhedging duality with frictions," Papers 1809.07516, arXiv.org, revised Sep 2019.
- Sergey Smirnov, 2019. "A Guaranteed Deterministic Approach to Superhedging—The Case of Convex Payoff Functions on Options," Mathematics, MDPI, vol. 7(12), pages 1-19, December.
- Sergey Nadtochiy & Jan Obloj, 2016. "Robust Trading of Implied Skew," Papers 1611.05518, arXiv.org.
- Ariel Neufeld & Matthew Ng Cheng En & Ying Zhang, 2024. "Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems," Papers 2403.09532, arXiv.org.
- Mathias Beiglbock & Alexander M. G. Cox & Martin Huesmann & Nicolas Perkowski & David J. Promel, 2015. "Pathwise super-replication via Vovk's outer measure," Papers 1504.03644, arXiv.org, revised Jul 2016.
- Jan Obłój & Johannes Wiesel, 2021. "Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1454-1493, October.
- Laurence Carassus & Johannes Wiesel, 2023. "Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity," Papers 2306.01503, arXiv.org, revised Jan 2024.
- Shuoqing Deng & Xiaolu Tan & Xiang Yu, 2020. "Utility Maximization with Proportional Transaction Costs Under Model Uncertainty," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1210-1236, November.
- Daniel Krv{s}ek & Gudmund Pammer, 2024. "General duality and dual attainment for adapted transport," Papers 2401.11958, arXiv.org, revised Nov 2024.
- Erhan Bayraktar & Zhou Zhou, 2017.
"Super-Hedging American Options With Semi-Static Trading Strategies Under Model Uncertainty,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-10, September.
- Erhan Bayraktar & Zhou Zhou, 2016. "Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty," Papers 1604.04608, arXiv.org, revised Jun 2017.
- Julien Guyon & Romain Menegaux & Marcel Nutz, 2017. "Bounds for VIX futures given S&P 500 smiles," Finance and Stochastics, Springer, vol. 21(3), pages 593-630, July.
- Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
- Cox, Alexander M.G. & Kinsley, Sam M., 2019. "Discretisation and duality of optimal Skorokhod embedding problems," Stochastic Processes and their Applications, Elsevier, vol. 129(7), pages 2376-2405.
- Laurence Carassus & Massinissa Ferhoune, 2024. "Nonconcave Robust Utility Maximization under Projective Determinacy," Papers 2403.11824, arXiv.org.
- Bartl, Daniel, 2020. "Conditional nonlinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 785-805.
- Ariel Neufeld & Julian Sester, 2024. "Non-concave distributionally robust stochastic control in a discrete time finite horizon setting," Papers 2404.05230, arXiv.org.
- Mun-Chol Kim & Song-Chol Ryom, 2022. "Pathwise superhedging under proportional transaction costs," Mathematics and Financial Economics, Springer, volume 16, number 4, February.
- David Criens & Lars Niemann, 2023. "Robust utility maximization with nonlinear continuous semimartingales," Mathematics and Financial Economics, Springer, volume 17, number 5, February.
- Michael R. Tehranchi, 2014. "Arbitrage theory without a num\'eraire," Papers 1410.2976, arXiv.org, revised Jul 2015.
- Beatrice Acciaio & Martin Larsson, 2015. "Semi-static completeness and robust pricing by informed investors," Papers 1510.01890, arXiv.org, revised Sep 2016.
- Derek Singh & Shuzhong Zhang, 2021. "Robust Arbitrage Conditions for Financial Markets," SN Operations Research Forum, Springer, vol. 2(3), pages 1-52, September.
- N. S. Gonchar, 2020. "Derivatives Pricing in Non-Arbitrage Market," Papers 2010.13630, arXiv.org.
- Mathias Beiglboeck & Alexander Cox & Martin Huesmann, 2017. "The geometry of multi-marginal Skorokhod Embedding," Papers 1705.09505, arXiv.org.
- Marcel Nutz, 2013. "Utility Maximization under Model Uncertainty in Discrete Time," Papers 1307.3597, arXiv.org.
- Nicholas Gonchar, 2016. "Generalization of Doob decomposition Theorem," Papers 1601.03574, arXiv.org.
- Julio Backhoff-Veraguas & Mathias Beiglbock & Martin Huesmann & Sigrid Kallblad, 2017. "Martingale Benamou--Brenier: a probabilistic perspective," Papers 1708.04869, arXiv.org, revised Jan 2019.
- Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin, 2024. "On entropy martingale optimal transport theory," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 1-42, June.
- Hölzermann, Julian, 2020. "Pricing Interest Rate Derivatives under Volatility Uncertainty," Center for Mathematical Economics Working Papers 633, Center for Mathematical Economics, Bielefeld University.
- N. S. Gonchar, 2018. "Description of Incomplete Financial Markets for the Discrete Time Evolution of Risk Assets," Papers 1810.09366, arXiv.org.
- Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
- Anna Aksamit & Ivan Guo & Shidan Liu & Zhou Zhou, 2021. "Superhedging duality for multi-action options under model uncertainty with information delay," Papers 2111.14502, arXiv.org, revised Nov 2023.
- Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2016. "Hedging with Small Uncertainty Aversion," Papers 1605.06429, arXiv.org.
- Tomoyuki Ichiba & Seyyed Mostafa Mousavi, 2017. "Option Pricing with Delayed Information," Papers 1707.01600, arXiv.org.
- Julien Guyon & Romain Menegaux & Marcel Nutz, 2016. "Bounds for VIX Futures given S&P 500 Smiles," Papers 1609.05832, arXiv.org, revised Jun 2017.
- Ariel Neufeld & Mario Šikić, 2019. "Nonconcave robust optimization with discrete strategies under Knightian uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(2), pages 229-253, October.
- Ariel Neufeld & Julian Sester & Daiying Yin, 2022. "Detecting data-driven robust statistical arbitrage strategies with deep neural networks," Papers 2203.03179, arXiv.org, revised Feb 2024.
- Erhan Bayraktar & Zhou Zhou, 2019.
"No-Arbitrage and Hedging with Liquid American Options,"
Mathematics of Operations Research, INFORMS, vol. 44(2), pages 468-486, May.
- Erhan Bayraktar & Zhou Zhou, 2016. "No-arbitrage and hedging with liquid American options," Papers 1605.01327, arXiv.org, revised Jan 2018.
- Mathias Beiglboeck & Pierre Henry-Labordere & Nizar Touzi, 2017. "Monotone Martingale Transport Plans and Skorohod Embedding," Papers 1701.06779, arXiv.org.
- Julian Holzermann, 2018. "The Hull-White Model under Volatility Uncertainty," Papers 1808.03463, arXiv.org, revised Jan 2021.
- Julio Backhoff-Veraguas & Gudmund Pammer & Walter Schachermayer, 2024. "The Gradient Flow of the Bass Functional in Martingale Optimal Transport," Papers 2407.18781, arXiv.org.
- Tao Chen & Jiyoun Myung, 2020. "Nonparametric Adaptive Bayesian Stochastic Control Under Model Uncertainty," Papers 2011.04804, arXiv.org, revised Mar 2022.
- Laurence Carassus & Massinissa Ferhoune, 2023. "Discrete time optimal investment under model uncertainty," Papers 2307.11919, arXiv.org, revised Feb 2024.
- Nutz, Marcel, 2015. "Robust superhedging with jumps and diffusion," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4543-4555.
- Bruno Bouchard & Marcel Nutz, 2016. "Consistent price systems under model uncertainty," Finance and Stochastics, Springer, vol. 20(1), pages 83-98, January.
- 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.
- Matteo Burzoni & Frank Riedel & H. Mete Soner, 2021.
"Viability and Arbitrage Under Knightian Uncertainty,"
Econometrica, Econometric Society, vol. 89(3), pages 1207-1234, May.
- Matteo Burzoni & Frank Riedel & H. Mete Soner, 2017. "Viability and Arbitrage under Knightian Uncertainty," Papers 1707.03335, arXiv.org, revised Jan 2021.
- Burzoni, Matteo & Riedel, Frank & Soner, Halil Mete, 2017. "Viability and arbitrage under Knightian Uncertainty," Center for Mathematical Economics Working Papers 575, Center for Mathematical Economics, Bielefeld University.
- Keita Owari, 2024. "Semistatic robust utility indifference valuation and robust integral functionals," Papers 2402.18872, arXiv.org.
- N. Azevedo & D. Pinheiro & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2018. "Who would invest only in the risk-free asset?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-14, September.
- Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
- Matteo Burzoni & Marco Frittelli & Zhaoxu Hou & Marco Maggis & Jan Ob{l}'oj, 2016. "Pointwise Arbitrage Pricing Theory in Discrete Time," Papers 1612.07618, arXiv.org, revised Feb 2018.
- Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016. "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, vol. 20(1), pages 1-50, January.
- Francesca Biagini & Katharina Oberpriller, 2020. "Reduced-form setting under model uncertainty with non-linear affine processes," Papers 2006.14307, arXiv.org, revised Jun 2020.
- Max Nendel & Jan Streicher, 2023. "An axiomatic approach to default risk and model uncertainty in rating systems," Papers 2303.08217, arXiv.org, revised Sep 2023.
- Yan Dolinsky & Or Zuk, 2023. "Explicit Computations for Delayed Semistatic Hedging," Papers 2308.10550, arXiv.org, revised Sep 2024.
- Erhan Bayraktar & Gu Wang, 2018.
"Quantile Hedging in a semi-static market with model uncertainty,"
Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(2), pages 197-227, April.
- Erhan Bayraktar & Gu Wang, 2014. "Quantile Hedging in a Semi-Static Market with Model Uncertainty," Papers 1408.4848, arXiv.org, revised Sep 2017.
- Jan Obloj & Johannes Wiesel, 2018. "A unified Framework for Robust Modelling of Financial Markets in discrete time," Papers 1808.06430, arXiv.org, revised Dec 2019.
- Daniel Bartl & Michael Kupper & David J. Promel & Ludovic Tangpi, 2017. "Duality for pathwise superhedging in continuous time," Papers 1705.02933, arXiv.org, revised Apr 2019.
- Beatrice Acciaio & Martin Larsson & Walter Schachermayer, 2017. "The space of outcomes of semi-static trading strategies need not be closed," Finance and Stochastics, Springer, vol. 21(3), pages 741-751, July.
- Sergey Smirnov & Dimitri Sotnikov & Andrey Zanochkin, 2024. "Approximation and asymptotics in the superhedging problem for binary options," Annals of Finance, Springer, vol. 20(4), pages 421-458, December.
- Marcel Nutz & Florian Stebegg & Xiaowei Tan, 2017. "Multiperiod Martingale Transport," Papers 1703.10588, arXiv.org, revised May 2019.
- Mathias Beiglbock & Marcel Nutz & Florian Stebegg, 2019. "Fine Properties of the Optimal Skorokhod Embedding Problem," Papers 1903.03887, arXiv.org, revised Apr 2020.
- Blanchard, Romain & Carassus, Laurence, 2020. "No-arbitrage with multiple-priors in discrete time," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6657-6688.
- Henry-Labordère, Pierre & Tan, Xiaolu & Touzi, Nizar, 2016. "An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2800-2834.
- Ariel Neufeld & Julian Sester, 2021. "Model-free price bounds under dynamic option trading," Papers 2101.01024, arXiv.org, revised Jul 2021.
- Acciaio, Beatrice & Larsson, Martin, 2017. "Semi-static completeness and robust pricing by informed investors," LSE Research Online Documents on Economics 68502, London School of Economics and Political Science, LSE Library.
- Beiglböck, Mathias & Henry-Labordère, Pierre & Touzi, Nizar, 2017. "Monotone martingale transport plans and Skorokhod embedding," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 3005-3013.
- Julian Holzermann, 2020. "Pricing Interest Rate Derivatives under Volatility Uncertainty," Papers 2003.04606, arXiv.org, revised Nov 2021.
- Motte, Edouard & Hainaut, Donatien, 2024. "Efficient hedging of life insurance portfolio for loss-averse insurers," LIDAM Discussion Papers ISBA 2024013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bruno Bouchard & Marcel Nutz, 2016. "Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions," Mathematics of Operations Research, INFORMS, vol. 41(1), pages 109-124, February.
- Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
- Sergey Nadtochiy & Jan Obłój, 2017. "Robust Trading Of Implied Skew," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-41, March.
- David Hobson & Anthony Neuberger, 2017. "Model uncertainty and the pricing of American options," Finance and Stochastics, Springer, vol. 21(1), pages 285-329, January.
- H'el`ene Halconruy, 2021. "The insider problem in the trinomial model: a discrete-time jump process approach," Papers 2106.15208, arXiv.org, revised Sep 2023.
- N. S. Gonchar, 2016. "Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets," Papers 1611.09062, arXiv.org.
- Julio Backhoff-Veraguas & Daniel Bartl & Mathias Beiglbock & Manu Eder, 2019. "Adapted Wasserstein Distances and Stability in Mathematical Finance," Papers 1901.07450, arXiv.org, revised May 2020.
- Ariel Neufeld & Julian Sester, 2021. "A deep learning approach to data-driven model-free pricing and to martingale optimal transport," Papers 2103.11435, arXiv.org, revised Dec 2022.
- Jonas Blessing & Michael Kupper & Alessandro Sgarabottolo, 2024. "Discrete approximation of risk-based prices under volatility uncertainty," Papers 2411.00713, arXiv.org.
- Dolinsky, Yan & Soner, H. Mete, 2015. "Martingale optimal transport in the Skorokhod space," Stochastic Processes and their Applications, Elsevier, vol. 125(10), pages 3893-3931.
- Huy N. Chau & Masaaki Fukasawa & Miklós Rásonyi, 2022. "Super‐replication with transaction costs under model uncertainty for continuous processes," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1066-1085, October.
- Huy N. Chau, 2020. "On robust fundamental theorems of asset pricing in discrete time," Papers 2007.02553, arXiv.org, revised Apr 2024.
- Romain Blanchard & Laurence Carassus, 2021. "Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 366-398, January.
- Nendel, Max & Streicher, Jan, 2023. "An axiomatic approach to default risk and model uncertainty in rating systems," Journal of Mathematical Economics, Elsevier, vol. 109(C).
- David Hobson & Anthony Neuberger, 2016. "More on hedging American options under model uncertainty," Papers 1604.02274, arXiv.org.
- Beatrice Acciaio & Mathias Beiglböck & Gudmund Pammer, 2021. "Weak transport for non‐convex costs and model‐independence in a fixed‐income market," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1423-1453, October.
- Hölzermann, Julian, 2018. "Bond Pricing under Knightian Uncertainty. A Short Rate Model with Drift and Volatility Uncertainty," Center for Mathematical Economics Working Papers 582, Center for Mathematical Economics, Bielefeld University.
- Shuoqing Deng & Xiaolu Tan & Xiang Yu, 2018. "Utility maximization with proportional transaction costs under model uncertainty," Papers 1805.06498, arXiv.org, revised Aug 2019.
- Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model uncertainty, recalibration, and the emergence of delta–vega hedging," Finance and Stochastics, Springer, vol. 21(4), pages 873-930, October.
- Jan Obloj & Johannes Wiesel, 2021. "Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets," Papers 2105.00935, arXiv.org, revised Nov 2021.
- Erhan Bayraktar & Alexander Munk, 2017. "Mini-Flash Crashes, Model Risk, and Optimal Execution," Papers 1705.09827, arXiv.org, revised Aug 2018.
- David Hobson & Anthony Neuberger, 2016. "On the value of being American," Papers 1604.02269, arXiv.org.
- Ariel Neufeld & Mario Sikic, 2016. "Robust Utility Maximization in Discrete-Time Markets with Friction," Papers 1610.09230, arXiv.org, revised May 2018.
- Patrick Cheridito & Matti Kiiski & David J. Promel & H. Mete Soner, 2019. "Martingale optimal transport duality," Papers 1904.04644, arXiv.org, revised Nov 2020.
- Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2020. "Model-free bounds for multi-asset options using option-implied information and their exact computation," Papers 2006.14288, arXiv.org, revised Jan 2022.
- Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016. "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, vol. 20(1), pages 1-50, January.
- Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2023. "Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation," Management Science, INFORMS, vol. 69(4), pages 2051-2068, April.
- Zhaoxu Hou & Jan Obłój, 2018. "Robust pricing–hedging dualities in continuous time," Finance and Stochastics, Springer, vol. 22(3), pages 511-567, July.
- Marcel Nutz & Florian Stebegg, 2016. "Canonical Supermartingale Couplings," Papers 1609.02867, arXiv.org, revised Nov 2017.
- Erhan Bayraktar & Zhou Zhou, 2013. "On utility maximization with derivatives under model uncertainty," Papers 1307.4813, arXiv.org.
- Christa Cuchiero & Irene Klein & Josef Teichmann, 2017. "A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting," Papers 1705.02087, arXiv.org.