1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2013
Risk measures for processes and BSDEs
Irina Penner, Anthony Reveillac
The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measur…
q-fin.PR2008★ 1 cited
Hedging of claims with physical delivery under convex transaction costs
Teemu Pennanen, Irina Penner
We study superhedging of contingent claims with physical delivery in a discrete-time market model with convex transaction costs. Our model extends Kabanov's currency market model b…