231 citations · 447 across the 35 of their papers we have counts for
6 papers · 1 filter
Hedging under an expected loss constraint with small transaction costs
Bruno Bouchard, Ludovic Moreau, Mete H. Soner
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with a…
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions
Bruno Bouchard, Marcel Nutz
We study a class of stochastic target games where one player tries to find a strategy such that the state process almost-surely reaches a given target, no matter which action is ch…
First time to exit of a continuous Itô process: general moment estimates and L1-convergence rate for discrete time approximations
Bruno Bouchard, Stefan Geiss, Emmanuel Gobet
We establish general moment estimates for the discrete and continuous exit times of a general Itô process in terms of the distance to the boundary. These estimates serve as interme…
Portfolio management under risk contraints - Lectures given at MITACS-PIMS-UBC Summer School in Risk Management and Risk Sharing
Bruno Bouchard
The aim of these lectures at MITACS-PIMS-UBC Summer School in Risk Man- agement and Risk Sharing is to discuss risk controlled approaches for the pricing and hedging of financial r…
Arbitrage and duality in nondominated discrete-time models
Bruno Bouchard, Marcel Nutz
We consider a nondominated model of a discrete-time financial market where stocks are traded dynamically, and options are available for static hedging. In a general measure-theoret…
Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
Bruno Bouchard, Emmanuel Lepinette, Erik Taflin
We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the contin…