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q-fin.RM2025
Superhedging under Proportional Transaction Costs in Continuous Time
Atiqah Almuzaini, Çağın Ararat, Jin Ma
We revisit the well-studied superhedging problem under proportional transaction costs in continuous time using the recently developed tools of set-valued stochastic analysis. By re…
q-fin.RM2025
Can Nash inform capital requirements? Allocating systemic risk measures
Çağın Ararat, Zachary Feinstein
Systemic risk measures aggregate the risks from multiple financial institutions to find system-wide capital requirements. Though much attention has been given to assessing the leve…