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 …

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 …

The question of pricing and hedging a given contingent claim has a unique solution in a
complete market framework. When some incompleteness is introduced, the problem …

In this paper we offer a systematic survey and comparison of the Esscher martingale
transform for linear processes, the Esscher martingale transform for exponential processes …

In a model-free discrete time financial market, we prove the superhedging duality theorem,
where trading is allowed with dynamic and semistatic strategies. We also show that the …

In this paper, we consider the classical problem of utility maximization in a financial market
allowing jumps. Assuming that the constraint set of all trading strategies is a compact set …

The availability of deep hedging has opened new horizons for solving hedging problems
under a large variety of realistic market conditions. At the same time, any model-be it a …

We study pricing and hedging under parameter uncertainty for a class of Markov processes
which we call generalized affine processes and which includes the Black–Scholes model as …

When the price processes of the financial assets are described by possibly unbounded
semimartingales, the classical concept of admissible trading strategies may lead to a trivial …

Structured financial products have gained more and more popularity in recent years, but
nevertheless has their success so far not thoroughly been analyzed. In this article we …