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Consistent price systems under model uncertainty
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Consistent price systems under model uncertainty (2015)Consistent price systems under model unce…Arbitrage and duality in nondominated discrete-time models (2015)Arbitrage and duality in nond…Robust hedging with proportional transaction costs (2014)Robust hedging with proportio…Martingale optimal transport and robust hedging in continuous time (2013)Martingale optimal transport …Constructing sublinear expectations on path space (2013)Constructing sublinear expect…A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM (2013)A MODEL‐FREE VERSION OF THE F…Markets with Transaction Costs (2009)Markets with Transaction CostsTHE RANGE OF TRADED OPTION PRICES (2006)THE RANGE OF TRADED OPTION PR…The Mathematics of Arbitrage (2006)The Mathematics of ArbitrageThe Mathematics of Arbitrage (2005)The Mathematics of ArbitrageStochastic finance. an introduction in discrete time (2004)Stochastic finance. an introd…Stochastic Finance (2004)Stochastic FinanceThe Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)The Fundamental Theorem of As…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…No-arbitrage criteria for financial markets with efficient friction (2002)No-arbitrage criteria for fin…The Harrison–Pliska arbitrage pricing theorem under transaction costs (2001)The Harrison–Pliska arbitrage…Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Equivalent martingale measure…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Mean-Variance Hedging for General Claims (1992)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Duality for Set-Valued Measures of Risk (2010)Prices of State-Contingent Claims Implicit in Option Prices (1978)Implied Binomial Trees (1994)ROBUST BOUNDS FOR FORWARD START OPTIONS (2010)Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting (2018)A general version of the fundamental theorem of asset pricing (1994)UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME (2014)ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2015)Adapted Wasserstein distances and stability in mathematical finance (2020)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Robust price bounds for the forward starting straddle (2014)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Convex Duality in Stochastic Optimization and Mathematical Finance (2011)Set-valued risk measures for conical market models (2011)Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case (2015)Modeling and optimization of risk (2010)Conditional value-at-risk in portfolio optimization: Coherent but fragile (2011)Measures of Systemic Risk (2017)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)
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References

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  • 2004Stochastic finance. an introduction in discrete time351 cited
  • 2005The Mathematics of Arbitrage344 cited
  • 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited
  • 2015Arbitrage and duality in nondominated discrete-time models240 cited
  • 2013Martingale optimal transport and robust hedging in continuous time218 cited
  • 2006THE RANGE OF TRADED OPTION PRICES205 cited
  • 2009Markets with Transaction Costs188 cited
  • 2006The Mathematics of Arbitrage187 cited
  • 2013A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM177 cited
  • 2013Constructing sublinear expectations on path space136 cited
  • 2001The Harrison–Pliska arbitrage pricing theorem under transaction costs121 cited
  • 2002No-arbitrage criteria for financial markets with efficient friction98 cited
  • 2014

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Robust hedging with proportional transaction costs
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