4 papers
Cost-efficient Payoffs under Model Ambiguity
Carole Bernard, Gero Junike, Thibaut Lux +1
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In…
Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
Daniel Bartl, Michael Kupper, Thibaut Lux +2
Motivated by applications in model-free finance and quantitative risk management, we consider Fréchet classes of multivariate distribution functions where additional information on…
Model-free bounds on Value-at-Risk using extreme value information and statistical distances
Thibaut Lux, Antonis Papapantoleon
We derive bounds on the distribution function, therefore also on the Value-at-Risk, of where is an aggregation function and is a ra…
Improved FréchetHoeffding bounds on -copulas and applications in model-free finance
Thibaut Lux, Antonis Papapantoleon
We derive upper and lower bounds on the expectation of under dependence uncertainty, i.e. when the marginal distributions of the random vector $\mathbf{S}=(S_1,\dot…