In this paper we derive robust super-and subhedging dualities for contingent claims that can
depend on several underlying assets. In addition to strict super-and subhedging, we also …

Das vorliegende Textbuch gibt eine Einführung in Fragestellungen und Methoden der
mathematischen Statistik. Es basiert auf Vorlesungen, die der Autor seit 1980 regelmäßig in …

We present and compare two different approaches to conditional risk measures. One
approach draws from convex analysis in vector spaces and presents risk measures as …

In the framework of continuous-time market models with specified pricing density, optimal
payoffs under increasing law-invariant preferences are known to be anti-monotonic with the …

We study the problem of optimally hedging exotic derivatives positions using a combination
of dynamic trading strategies in underlying stocks and static positions in vanilla options …

The determination of acceptability prices of contingent claims requires the choice of a
stochastic model for the underlying asset price dynamics. Given this model, optimal bid and …

To thrive in today's booming energy trading market you need cutting-edge knowledge of the
latest energy trading strategies, backed up by rigorous testing and practical application …

In this paper, we consider the problem of optimal partial hedging for a contingent claim
subject to a preset hedging budget constraint. Under some technical assumptions on the …

We study the problem of testing composite hypotheses versus composite alternatives, using
a convex duality approach. In contrast to classical results obtained by Krafft and Witting (Z …

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from
academic, industrial and regulatory perspectives. The problem of minimizing CVaR is …