18 citations · 63 across the 38 of their papers we have counts for
4 papers · 1 filter
Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
Olivier Menoukeu-Pamen, Youssef Ouknine, Ludovic Tangpi
In this paper we review and improve pathwise uniqueness results for some types of one-dimensional stochastic differential equations (SDE) involving the local time of the unknown pr…
Computational aspects of robust optimized certainty equivalents and option pricing
Daniel Bartl, Samuel Drapeau, Ludovic Tangpi
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable.…
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…
The amazing power of dimensional analysis: Quantifying market impact
Mathias Pohl, Alexander Ristig, Walter Schachermayer +1
This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva [18]. Following closely these authors, our main result shows by a s…