Related papers: Semistatic robust utility indifference valuation a…
We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a lineality-type condition the problem admits a maximizer. This condition is implied by the no-arbitrage condition in models of…
We deal with existence, uniqueness, and regularity for solutions of the boundary value problem $$ \begin{cases} {\mathcal L}^s u = \mu &\quad \text{in $\Omega$}, u(x)=0 \quad &\text{on} \ \ \mathbb{R}^N\backslash\Omega, \end{cases} $$ where…
Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a…
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for…
This paper addresses a novel \emph{cost-sensitive} distributionally robust log-optimal portfolio problem, where the investor faces \emph{ambiguous} return distributions, and a general convex transaction cost model is incorporated. The…
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…
Risk measures connect probability theory or statistics to optimization, particularly to convex optimization. They are nowadays standard in applications of finance and in insurance involving risk aversion. This paper investigates a wide…
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…
We introduce a robust optimization model consisting in a family of perturbation functions giving rise to certain pairs of dual optimization problems in which the dual variable depends on the uncertainty parameter. The interest of our…
In this paper, we study the Fenchel-Rockafellar duality and the Lagrange duality in the general frame work of vector spaces without topological structures. We utilize the geometric approach, inspired from its successful application by B. S.…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
For simultaneous independent events with finitely many outcomes, consider the expected-utility problem with nonnegative wagers and an endogenous cash position. We prove a short support theorem for a broad class of strictly increasing…
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic…
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…
This paper studies an $\alpha$-robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but unspecified dependence structure with financial market…
In this paper, we consider scaling limits of exponential utility indifference prices for European contingent claims in the Bachelier model. We show that the scaling limit can be represented in terms of the \emph{specific relative entropy},…
Regularizing the optimal transport (OT) problem has proven crucial for OT theory to impact the field of machine learning. For instance, it is known that regularizing OT problems with entropy leads to faster computations and better…
In this paper, we propose a second-order continuous primal-dual dynamical system with time-dependent positive damping terms for a separable convex optimization problem with linear equality constraints. By the Lyapunov function approach, we…
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the…
We study a Dirichlet boundary problem related to the fractional Laplacian in a manifold. Its variational formulation arises in the study of magnitude, an invariant of compact metric spaces given by the reciprocal of the ground state energy.…