4 papers
Bounding quantiles of Wasserstein distance between true and empirical measure
Samuel N. Cohen, Martin N. A. Tegnér, Johannes Wiesel
Consider the empirical measure, , associated to i.i.d. samples of a given probability distribution on the unit interval. For fixed …
The robust superreplication problem: a dynamic approach
Laurence Carassus, Jan Obloj, Johannes Wiesel
In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is require…
A unified Framework for Robust Modelling of Financial Markets in discrete time
Jan Obloj, Johannes Wiesel
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundament…
Robust estimation of superhedging prices
Jan Obloj, Johannes Wiesel
We consider statistical estimation of superhedging prices using historical stock returns in a frictionless market with d traded assets. We introduce a plugin estimator based on emp…