Wasserstein distance induces a natural Riemannian structure for the probabilities on the
Euclidean space. This insight of classical transport theory is fundamental for tremendous …

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 …

In this paper, we study the pricing of contracts in fixed income markets under volatility
uncertainty in the sense of Knightian uncertainty or model uncertainty. The starting point is …

In a discrete time and multiple-priors setting, we propose a new characterisation of the
condition of quasi-sure no-arbitrage which has become a standard assumption. We show …

We study the Hull–White model for the term structure of interest rates in the presence of
volatility uncertainty. The uncertainty about the volatility is represented by a set of beliefs …

We investigate asymmetry of information in the context of the robust approach to pricing and
hedging of financial derivatives. We consider two agents, one who only observes the stock …

We consider the problem of finding a model-free upper bound on the price of an American
put given the prices of a family of European puts on the same underlying asset. Specifically …

This paper considers super-replication in a guaranteed deterministic problem setting with
discrete time. The aim of hedging a contingent claim is to ensure the coverage of possible …

A multi-marginal c-convex duality theorem for martingale optimal transport - ScienceDirect Skip
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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 …