14 citations · 23 across the 7 of their papers we have counts for
7 papers · 1 filter
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…
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…
Dynamic risk measuring under model uncertainty: taking advantage of the hidden probability measure
Jocelyne Bion-Nadal, Magali Kervarec
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence cla…
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…