1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.PR2015
Almost-sure hedging with permanent price impact
B. Bouchard, G. Loeper, Y. Zou
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of…
math.PR2014
Regularity of BSDEs with a convex constraint on the gains-process
Bruno Bouchard, Romuald Elie, Ludovic Moreau
We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the ter…
q-fin.MF2014★ 1 cited
Consistent Price Systems under Model Uncertainty
Bruno Bouchard, Marcel Nutz
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrag…