52 citations · 67 across the 3 of their papers we have counts for
5 papers
Schrödinger's problem with constraints
Beatrice Acciaio, Umut Çetin
Motivated by the connection between the Kyle equilibrium with static private signal and the Brownian bridge, we study a much broader class of bridges that allow one to consider mor…
The space of outcomes of semi-static trading strategies need not be closed
Beatrice Acciaio, Martin Larsson, Walter Schachermayer
Semi-static trading strategies make frequent appearances in mathematical finance, where dynamic trading in a liquid asset is combined with static buy-and-hold positions in options…
Semi-static completeness and robust pricing by informed investors
Beatrice Acciaio, Martin Larsson
We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust fram…
A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
Beatrice Acciaio, Mathias Beiglböck, Friedrich Penkner +1
We propose a Fundamental Theorem of Asset Pricing and a Super-Replication Theorem in a model-independent framework. We prove these theorems in the setting of finite, discrete time…
A trajectorial interpretation of Doob's martingale inequalities
B. Acciaio, M. Beiglböck, F. Penkner +2
We present a unified approach to Doob's maximal inequalities for . The novelty of our method is that these martingale inequalities are obtained as consequence…