17 citations · 37 across the 22 of their papers we have counts for
4 papers · 1 filter
The Martingale Problem Method Revisited
David Criens, Peter Pfaffelhuber, Thorsten Schmidt
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is n…
Robust deep hedging
Eva Lütkebohmert, Thorsten Schmidt, Julian Sester
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 we…
Defaultable term structures driven by semimartingales
Sandrine Gümbel, Thorsten Schmidt
We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the ran…
A conditional version of the second fundamental theorem of asset pricing in discrete time
Lars Niemann, Thorsten Schmidt
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framewo…