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q-fin.MF2026
An optimal transport foundation for a class of dynamically consistent risk measures
Sven Fuhrmann, Michael Kupper, Max Nendel
We study a class of dynamically consistent risk measures that robustify a time-homogeneous Markovian reference model by allowing for distributional uncertainty in its transition la…
q-fin.MF2024★ 1 cited
Discrete approximation of risk-based prices under volatility uncertainty
Jonas Blessing, Michael Kupper, Alessandro Sgarabottolo
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of…