期刊： FINANCE AND STOCHASTICS, 2021; 25 (3)
We prove a robust super-hedging duality result for path-dependent options on assets with jumps in a continuous-time setting. It requires that the coll......
期刊： FINANCE AND STOCHASTICS, 2021; 25 (3)
This paper studies a class of robust mean-variance portfolio selection problems with state-dependent risk aversion. Model uncertainty, in the sense of......
期刊： FINANCE AND STOCHASTICS, 2020; 24 (3)
We consider an asymptotic SPDE description of a large portfolio model where the underlying asset prices evolve according to certain stochastic volatil......
期刊： FINANCE AND STOCHASTICS, 2020; 24 (4)
In this paper, we consider an optimal insurance problem from the perspective of a risk-averse individual who faces an insurable risk as well as some b......
期刊： FINANCE AND STOCHASTICS, 2019; 23 (1)
Using elements from the theory of ergodic backward stochastic differential equations (BSDEs), we study the behavior of forward entropic risk measures ......
期刊： FINANCE AND STOCHASTICS, 2019; 23 (1)
We establish new conditions under which a constrained (no short-selling) time-consistent equilibrium strategy, starting at a certain time, will beat t......
期刊： FINANCE AND STOCHASTICS, 2019; 23 (3)
In this paper, we characterise compatibility of distributions and probability measures on a measurable space. For a set of indices J, we say that the ......
期刊： FINANCE AND STOCHASTICS, 2019; 23 (4)
Finding the worst-case value of a preference over a set of plausible models is a well-established approach to address the issue of model uncertainty o......
期刊： FINANCE AND STOCHASTICS, 2018; 22 (1)
This paper quantifies the interplay between the no-arbitrage notion of no unbounded profit with bounded risk (NUPBR) and additional progressive inform......
期刊： FINANCE AND STOCHASTICS, 2018; 22 (2)
Coherent risk measures (Artzner et al. in Math. Finance 9:203-228, 1999) and convex risk measures (Follmer and Schied in Finance Stoch. 6:429-447, 200......
期刊： FINANCE AND STOCHASTICS, 2017; 21 (2)
In this paper, we develop the multipower estimators for the integrated volatility in (Barndorff-Nielsen and Shephard in J. Financ. Econom. 2:1-37, 200......
期刊： FINANCE AND STOCHASTICS, 2017; 21 (3)
We introduce a class of interest rate models, called the alpha-CIR model, which is a natural extension of the standard CIR model by adding a jump part......
期刊： FINANCE AND STOCHASTICS, 2017; 21 (4)
This paper studies the impact, on no-arbitrage conditions, of stopping the price process at an arbitrary random time. As price processes, we consider ......
