24 citations · 40 across the 14 of their papers we have counts for
5 papers · 1 filter
Limits of Semistatic Trading Strategies
Marcel Nutz, Johannes Wiesel, Long Zhao
We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two-period mod…
Martingale Schrödinger Bridges and Optimal Semistatic Portfolios
Marcel Nutz, Johannes Wiesel, Long Zhao
In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale Schrödinger bridge Q*…
Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets
Jan Obloj, Johannes Wiesel
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we…
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…