15 citations · 30 across the 4 of their papers we have counts for
10 papers
Liquidity Provision with Adverse Selection and Inventory Costs
Martin Herdegen, Johannes Muhle-Karbe, Florian Stebegg
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary inf…
Climate Change Adaptation under Heterogeneous Beliefs
Marcel Nutz, Florian Stebegg
We study strategic interactions between firms with heterogeneous beliefs about future climate impacts. To that end, we propose a Cournot-type equilibrium model where firms choose m…
Fine Properties of the Optimal Skorokhod Embedding Problem
Mathias Beiglböck, Marcel Nutz, Florian Stebegg
We study the problem of stopping a Brownian motion at a given distribution while optimizing a reward function that depends on the (possibly randomized) stopping time and the Br…
Robust Pricing and Hedging around the Globe
Sebastian Herrmann, Florian Stebegg
We consider the martingale optimal transport duality for càdlàg processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static…
Multiperiod Martingale Transport
Marcel Nutz, Florian Stebegg, Xiaowei Tan
Consider a multiperiod optimal transport problem where distributions are prescribed and a transport corresponds to a scalar martingale with marginals $X_{t}…
Monotonicity Preserving Transformations of MOT and SEP
Martin Huesmann, Florian Stebegg
Recently, \cite{BeJu16, BeNuTo16} established that optimizers to the martingale optimal transport problem (MOT) are concentrated on -monotone sets. In this article we characteri…
Canonical Supermartingale Couplings
Marcel Nutz, Florian Stebegg
Two probability distributions and in second stochastic order can be coupled by a supermartingale, and in fact by many. Is there a canonical choice? We construct and investi…
Root to Kellerer
Mathias Beiglböck, Martin Huesmann, Florian Stebegg
We revisit Kellerer's Theorem, that is, we show that for a family of real probability distributions which increases in convex order there exists a Markov marti…
The Sharp Constant for the Burkholder-Davis-Gundy Inequality and Non-Smooth Pasting
Walter Schachermayer, Florian Stebegg
We revisit the celebrated family of BDG-inequalities introduced by Burkholder, Gundy \cite{BuGu70} and Davis \cite{Da70} for continuous martingales. For the inequalities $\mathbb{E…
Model-Independent Pricing of Asian Options via Optimal Martingale Transport
Florian Stebegg
In this article we discuss the problem of calculating optimal model-independent (robust) bounds for the price of Asian options with discrete and continuous averaging. We will give…