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q-fin.MF2018
Robust martingale selection problem and its connections to the no-arbitrage theory
Matteo Burzoni, Mario Sikic
We analyze the martingale selection problem of Rokhlin (2006) in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to th…
q-fin.MF2016
Robust Utility Maximization in Discrete-Time Markets with Friction
Ariel Neufeld, Mario Sikic
We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a lineality-type condition the problem admits a maximizer. This con…
q-fin.MF2015
Financial market models in discrete time beyond the concave case
Mario Sikic
In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the s…