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math.PR2007
Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk
Jocelyne Bion-Nadal
We introduce, in continuous time, an axiomatic approach to assign to any financial position a dynamic ask (resp. bid) price process. Taking into account both transaction costs and…
math.PR2006★ 2 cited
Time Consistent Dynamic Risk Processes, Cadlag Modification
Jocelyne Bion-Nadal
Working in a continuous time setting, we extend to the general case of dynamic risk measures continuous from above the characterization of time consistency in terms of ``cocycle co…