47 citations · 47 across the 8 of their papers we have counts for
4 papers · 1 filter
Sensitivity of functionals of McKean-Vlasov SDE's with respect to the initial distribution
Filippo de Feo, Salvatore Federico, Fausto Gozzi +1
We examine the sensitivity at the origin of the distributional robust optimization problem in the context of a model generated by a mean field stochastic differential equation. We…
First order Martingale model risk and semi-static hedging
Nathan Sauldubois, Nizar Touzi
We investigate model risk distributionally robust sensitivities for functionals on the Wasserstein space when the underlying model is constrained to the martingale class and/or is…
Itō and Itō-Wentzell chain rule for flows of conditional laws of continuous semimartingales: an easy approach
Assil Fadle, Mehdi Talbi, Nizar Touzi
We provide a general Itō\,-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along…
Mean Field Game of Mutual Holding with common noise
Leila Bassou, Mao Fabrice Djete, Nizar Touzi
We consider the mean field game of cross--holding introduced in \citeauthor*{DjeteTouzi} \cite{DjeteTouzi} in the context where the equity value dynamics are affected by a common n…