14 citations · 23 across the 7 of their papers we have counts for
11 papers
Fully-dynamic risk-indifference pricing and no-good-deal bounds
Jocelyne Bion-Nadal, Giulia Di Nunno
The seller's risk-indifference price evaluation is studied. We propose a dynamic risk-indifference pricing criteria derived from a fully-dynamic family of risk measures on the $L_p…
Representation of convex operators and their static and dynamic sandwich extensions
Jocelyne Bion-Nadal, Giulia Di Nunno
Monotone convex operators and time-consistent systems of operators appear naturally in stochastic optimization and mathematical finance in the context of pricing and risk measureme…
Dynamic quasi-concave performance measures
Sara Biagini, Jocelyne Bion-Nadal
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide va…
A new probabilistic approach to non local and fully non linear second order partial differential equations
Jocelyne Bion-Nadal
We prove that weakly continuous solutions to martingale problems admit a canonical regular conditional probability distribution. This allows for the construction of time consistent…
Time consistent convex Feller processes and non linear second order partial differential equations
Jocelyne Bion-Nadal
This paper shows how the theory of dynamic risk measures provides viscosity solutions to a family of second-order parabolic partial differential equations, even in the degenerate c…
Extension theorems for linear operators on and application to price systems
Jocelyne Bion-Nadal, Giulia Di Nunno
In an -framework, we present a few extension theorems for linear operators. We focus the attention on majorant preserving and sandwich preserving types of extensions. The…