We pursue a robust approach to pricing and hedging in mathematical finance. We consider
a continuous-time setting in which some underlying assets and options, with continuous …

We consider robust pricing and hedging for options written on multiple assets given market
option prices for the individual assets. The resulting problem is called the multimarginal …

We obtain a dual representation of the Kantorovich functional defined for functions on the
Skorokhod space using quotient sets. Our representation takes the form of a Choquet …

We consider the robust exponential utility maximization problem in discrete time: An investor
maximizes the worst case expected exponential utility with respect to a family of …

In the frictionless discrete time financial market of Bouchard and Nutz Ann. Appl. Probab., 25
(2015), pp. 823--859 we consider a trader who is required to hedge ξ in a risk-conservative …

We reconsider the microeconomic foundations of financial economics. Motivated by the
importance of Knightian uncertainty in markets, we present a model that does not carry any …

We consider derivatives written on multiple underlyings in a one-period financial market,
and we are interested in the computation of model-free upper and lower bounds for their …

We investigate the pricing–hedging duality for American options in discrete time financial
models where some assets are traded dynamically and others, for example, a family of …

We consider the optimal investment and marginal utility pricing problem of a risk averse
agent and quantify their exposure to model uncertainty. Specifically, we compute explicitly …

We provide a model-free pricing–hedging duality in continuous time. For a frictionless
market consisting of dd risky assets with continuous price trajectories, we show that the …