Related papers: Semistatic robust utility indifference valuation a…

Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions…

We provide a model-free pricing-hedging duality in continuous time. For a frictionless market consisting of $d$ risky assets with continuous price trajectories, we show that the purely analytic problem of finding the minimal superhedging…

We consider the Monge-Kantorovich transport problem in an abstract measure theoretic setting. Our main result states that duality holds if $c:X\times Y\to [0,\infty)$ is an arbitrary Borel measurable cost function on the product of Polish…

This work studies the distributionally robust evaluation of expected values over temporal data. A set of alternative measures is characterized by the causal optimal transport. We prove the strong duality and recast the causality constraint…

This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our approach is applicable to various specifications of…

In this paper we introduce a new class of quasilinear elliptic equations driven by the so-called double phase operator with variable exponents. We prove certain properties of the corresponding Musielak-Orlicz Sobolev spaces (an equivalent…

This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-indifference prices for buyers and sellers in continuous time,…

In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…

Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from…

We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…

We study utility indifference prices and optimal purchasing quantities for a non-traded contingent claim in an incomplete semi-martingale market with vanishing hedging errors. We make connections with the theory of large deviations. We…

We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an…

We treat utility maximization from terminal wealth for an agent with utility function $U:\mathbb{R}\to\mathbb{R}$ who dynamically invests in a continuous-time financial market and receives a possibly unbounded random endowment. We prove the…

In this paper we associate with an infinite family of real extended functions defined on a locally convex space, a sum, called robust sum, which is always well-defined. We also associate with that family of functions a dual pair of problems…

In this paper, we propose an inertial accelerated primal-dual method for the linear equality constrained convex optimization problem. When the objective function has a ``nonsmooth + smooth'' composite structure, we further propose an…

We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open case of static hedging with second-period maturity vanilla…

This paper studies a type of periodic utility maximization problems for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio…

This paper solves a utility maximization problem under utility-based shortfall risk constraint, by proposing an approach using Lagrange multiplier and convex duality. Under mild conditions on the asymptotic elasticity of the utility…

We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…

Based on recent developments in the theory of fractional Sobolev spaces, an interesting new class of nonlocal variational problems has emerged in the literature. These problems, which are the focus of this work, involve integral functionals…