231 citations · 447 across the 35 of their papers we have counts for
4 papers · 1 filter
Robust Fundamental Theorem for Continuous Processes
Sara Biagini, Bruno Bouchard, Constantinos Kardaras +1
We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family of possible physical measures. A robust noti…
Regularity of BSDEs with a convex constraint on the gains-process
Bruno Bouchard, Romuald Elie, Ludovic Moreau
We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the ter…
A backward dual representation for the quantile hedging of Bermudan options
Bruno Bouchard, Jean-François Chassagneux, Géraldine Bouveret
Within a Markovian complete financial market, we consider the problem of hedging a Bermudan option with a given probability. Using stochastic target and duality arguments, we deriv…
Consistent Price Systems under Model Uncertainty
Bruno Bouchard, Marcel Nutz
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrag…