Putting order in risk measures - ScienceDirect Skip to main contentSkip to article Elsevier
logo Journals & Books Search RegisterSign in View PDF Download full issue Search …

In 1973 F. Black and M. Scholes published their pathbreaking paper [BS73] on option
pricing. The key idea—attributed to R. Merton in a footnote of the Black-Scholes paper—is …

In reality, markets are incomplete, meaning that some payoffs cannot be replicated by
trading in marketed securities. The classic no-arbitrage theory of valuation in a complete …

In a financial market model with constraints on the portfolios, define the price for a claim C as
the smallest real number p such that supπ E [U (XTx+ p, π− C)]≥ supπ E [U (XTx, π)], where …

Let χ be a family of stochastic processes on a given filtered probability space (Ω, F,(Ft) t∈ T,
P) with T⊆ R+. Under the assumption that the set Me of equivalent martingale measures for …

We solve the problem of hedging a contingent claim B by maximizing the expected
exponential utility of terminal net wealth for a locally bounded semimartingale X. We prove a …

We study uncertainty averse preferences, that is, complete and transitive preferences that
are convex and monotone. We establish a representation result, which is at the same time …

We study dynamic monetary risk measures that depend on bounded discrete-time
processes describing the evolution of financial values. The time horizon can be finite or …

This paper shows how g-expectations and conditional g-expectations provide some families
of static and dynamic risk measures. Conversely, some sufficient conditions for a dynamic …

This is the first book about the emerging field of utility indifference pricing for valuing
derivatives in incomplete markets. René Carmona brings together a who's who of leading …