We introduce a novel and highly tractable supervised learning approach based on neural
networks that can be applied for the computation of model-free price bounds of, potentially …

We show how inter-asset dependence information derived from market prices of options can
lead to improved model-free price bounds for multi-asset derivatives. Depending on the type …

A multi-marginal c-convex duality theorem for martingale optimal transport - ScienceDirect Skip
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We introduce an efficient computational framework for solving a class of multi-marginal
martingale optimal transport problems, which includes many robust pricing problems of …

In this paper we extend discrete time semistatic trading strategies by also allowing for
dynamic trading in a finite amount of options, and we study the consequences for the model …

We investigate statistical arbitrage strategies when there is ambiguity about the underlying
time-discrete financial model. Pricing measures are assumed to be martingale measures …

We study a variant of the martingale optimal transport problem in a multi-period setting to
derive robust price bounds on a financial derivative. On top of marginal and martingale …

We study the influence of additional intermediate marginal distributions on the value of the
martingale optimal transport problem. From a financial point of view, this corresponds to …

Zunächst danke ich meinem Betreuer Michael Kupper. Von Beginn meiner Masterarbeit an
hat mich Michaels Begeisterung für Mathematik stets angesteckt. Er hat sich immer Zeit …

This thesis studies several topics related to the area of model-independent and robust
finance. In particular, the work addresses valuation approaches that can be applied to …