Thibaut Lux

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20162022

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math.PR2017

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…

math.PR2016

Improved Fréchet $-$ Hoeffding bounds on $d$ -copulas and applications in model-free finance

Thibaut Lux, Antonis Papapantoleon

We derive upper and lower bounds on the expectation of $f (S)$ under dependence uncertainty, i.e. when the marginal distributions of the random vector $\mathbf{S}=(S_1,\dot…

Marginal and dependence uncertainty: bounds, optimal transport, and sharpness

Improved Fréchet−Hoeffding bounds on d-copulas and applications in model-free finance

Improved Fréchet $-$ Hoeffding bounds on $d$ -copulas and applications in model-free finance