24 citations · 40 across the 14 of their papers we have counts for
Showing 2018Show all
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q-fin.MF2018
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…
q-fin.MF2018★ 6 cited
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…
q-fin.ST2018★ 4 cited
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…