Výsledky vyhledávání - "Laurence Carassus"

Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework

Autor: Romain Blanchard, Laurence Carassus

Publikováno v: Mathematical Finance. 31:366-398

This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random functions defin

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0f921c5c4e08bffd9cadc0d0242cc413
https://doi.org/10.1111/mafi.12288

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Risk-Neutral Pricing for Arbitrage Pricing Theory

Autor: Miklós Rásonyi, Laurence Carassus

Publikováno v: Journal of Optimization Theory and Applications. 186:248-263

We consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::b66c3a88b82b81fdbdaa8826de436e2b
https://doi.org/10.1007/s10957-020-01699-6

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No free lunch for markets with multiple num\'eraires

Autor: Laurence Carassus

We consider a global market constituted by several submarkets, each with its own assets and num\'eraire. We provide theoretical foundations for the existence of equivalent martingale measures and results on superreplication prices which allows to tak

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ba1ded79c8155385cad688be5d381a89
http://arxiv.org/abs/2107.12885

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Pricing without no-arbitrage condition in discrete time

Autor: Laurence Carassus, Emmanuel Lépinette

Publikováno v: Journal of Mathematical Analysis and Applications
Journal of Mathematical Analysis and Applications, Elsevier, In press

In a discrete time setting, we study the central problem of giving a fair price to some financial product. For several decades, the no-arbitrage conditions and the martingale measures have played a major role for solving this problem. We propose a ne

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a1d82ad34141e259d931d37ec39ba53a
https://hal.archives-ouvertes.fr/hal-03283767/file/AMMrevision1006.pdf

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No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach

Autor: Laurence Carassus, Miklós Rásonyi, Romain Blanchard

Publikováno v: Mathematical Methods of Operations Research. 88:241-281

We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming fr

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::b32dcf6fd88008e9fd7087c623c84db5
https://doi.org/10.1007/s00186-018-0635-3

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Super-replication price: it can be ok

Autor: Tiziano Vargiolu, Laurence Carassus

Publikováno v: ESAIM: Proceedings and Surveys, Vol 64, Pp 54-64 (2018)

We consider a discrete time financial model where the support of the conditional law of the risky asset is bounded. For convex options we show that the super-replication problem reduces to the replication one in a Cox-Ross-Rubinstein model whose para

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::133c0501d0a36a2f2528eb6c81833b92
https://doaj.org/article/b5e5f1324ab04b8b875ce16fa2797d42

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From small markets to big markets

Autor: Laurence Carassus, Miklós Rásonyi

We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising expected utili

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f58d56303fd40220c474776b92972eda

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