18 citations · 63 across the 38 of their papers we have counts for
6 papers · 1 filter
Optimal Bubble Riding with Price-dependent Entry: a Mean Field Game of Controls with Common Noise
Ludovic Tangpi, Shichun Wang
In this paper we further extend the optimal bubble riding model proposed by Tangpi and Wang by allowing for price-dependent entry times. Agents are characterized by their individua…
Optimal Bubble Riding: A Mean Field Game with Varying Entry Times
Ludovic Tangpi, Shichun Wang
Recent financial bubbles such as the emergence of cryptocurrencies and "meme stocks" have gained increasing attention from both retail and institutional investors. In this paper, w…
Optimal Investment in a Large Population of Competitive and Heterogeneous Agents
Ludovic Tangpi, Xuchen Zhou
This paper studies a stochastic utility maximization game under relative performance concerns in finite agent and infinite agent settings, where a continuum of agents interact thro…
Efficient hedging under ambiguity in continuous time
Ludovic Tangpi
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed he…
Duality for pathwise superhedging in continuous time
Daniel Bartl, Michael Kupper, David J. Prömel +1
We provide a model-free pricing-hedging duality in continuous time. For a frictionless market consisting of risky assets with continuous price trajectories, we show that the pu…
Duality formulas for robust pricing and hedging in discrete time
Patrick Cheridito, Michael Kupper, Ludovic Tangpi
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we a…