Related papers: Robust estimation of superhedging prices
This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We calculate exponential utility-based indifference prices,…
In this paper, we present a method for constructing a (static) portfolio of co-maturing European options whose price sign is determined by the skewness level of the associated implied volatility. This property holds regardless of the…
We analyze the martingale selection problem of Rokhlin (2006) in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical no-arbitrage deliberations. We obtain versions…
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…
We investigate model risk distributionally robust sensitivities for functionals on the Wasserstein space when the underlying model is constrained to the martingale class and/or is subject to constraints on the first marginal law. Our…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model…
We are interested in the problem of robust parametric estimation of a density from $n$ i.i.d. observations. By using a practice-oriented procedure based on robust tests, we build an estimator for which we establish non-asymptotic risk…
In this paper, we study the robustness of classical deep hedging strategies under distributional shifts by leveraging the concept of adversarial attacks. We first demonstrate that standard deep hedging models are highly vulnerable to small…
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
In this paper, we establish sharp upper and lower bounds on the convergence rate of the empirical measures of point processes under the Wasserstein distance. To this end, we first introduce a new metric on the space of counting measures…
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the…
A novel framework for density estimation under expectation constraints is proposed. The framework minimizes the Wasserstein distance between the estimated density and a prior, subject to the constraints that the expected value of a set of…
We study the continuity properties of optimal solutions to stochastic control problems with respect to initial probability measures and applications of these to the robustness of optimal control policies applied to systems with incomplete…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pricing purposes. On the other hand, market price of volatility…
The question of optimally approximating an arbitrary probability measure in the Wasserstein distance by a discrete one with uniform weights is considered. Estimates are obtained for the optimal approximation distance, with an explicit rate…
Many applied settings in empirical economics involve simultaneous estimation of a large number of parameters. In particular, applied economists are often interested in estimating the effects of many-valued treatments (like teacher effects…
The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a stochastic asset price model where the trend…