7 citations · 19 across the 15 of their papers we have counts for
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q-fin.MF2016
Pointwise Arbitrage Pricing Theory in Discrete Time
Matteo Burzoni, Marco Frittelli, Zhaoxu Hou +2
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded a…
math.FA2016
The Fatou Closedness under Model Uncertainty
Marco Maggis, Thilo Meyer-Brandis, Gregor Svindland
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of -quasisure bounded random variables, where $\mathcal{…