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q-fin.MF2020
Conditional Systemic Risk Measures
Alessandro Doldi, Marco Frittelli
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation resu…
q-fin.MF2020
Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality
Alessandro Doldi, Marco Frittelli
The objective of this paper is to develop a duality between a novel Entropy Martingale Optimal Transport problem (A) and an associated optimization problem (B). In (A) we follow th…