1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.OC2015
Strong Duality of Linear Optimisation Problems over Measure Spaces
Raphael Hauser, Sergey Shahverdyan
In this work we present two particular cases of the general duality result for linear optimisation problems over signed measures with infinitely many constraints in the form of int…
q-fin.PR2015★ 1 cited
A New Approach to Model Free Option Pricing
Raphael Hauser, Sergey Shahverdyan
In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed meas…
q-fin.RM2014
A General Duality Relation with Applications in Quantitative Risk Management
Raphael Hauser, Sergey Shahverdyan, Paul Embrechts
A fundamental problem in risk management is the robust aggregation of different sources of risk in a situation where little or no data are available to infer information about thei…