We study the optimal transport between two probability measures on the real line, where the
transport plans are laws of one-step martingales. A quasi-sure formulation of the dual …

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 …

We develop a robust framework for pricing and hedging of derivative securities in discrete-
time financial markets. We consider markets with both dynamically and statically traded …

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 a model‐independent pricing problem in a fixed‐income market and show that
it leads to a weak optimal transport problem as introduced by Gozlan et al. We use this to …

Two probability distributions μ and ν in second stochastic order can be coupled by a
supermartingale, and in fact by many. Is there a canonical choice? We construct and …

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 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 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 study the problem of stopping a Brownian motion at a given distribution while optimizing
a reward function that depends on the (possibly randomized) stopping time and the …