231 citations · 874 across the 46 of their papers we have counts for
Showing 2014 · q-fin.MFShow all
3 papers · 2 filters
q-fin.MF2014★ 5 cited
Robust Fundamental Theorem for Continuous Processes
Sara Biagini, Bruno Bouchard, Constantinos Kardaras +1
We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family of possible physical measures. A robust noti…
q-fin.MF2014★ 1 cited
Consistent Price Systems under Model Uncertainty
Bruno Bouchard, Marcel Nutz
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrag…
q-fin.MF2014
Robust Superhedging with Jumps and Diffusion
Marcel Nutz
We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous proces…