Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Laurence Carassus"'
Autor:
Romain Blanchard, Laurence Carassus
Publikováno v:
SIAM Journal on Financial Mathematics. 13:SC53-SC65
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cb31d9631f983548ebd8f1977e798e5d
https://doi.org/10.1137/22m1470013
https://doi.org/10.1137/22m1470013
Publikováno v:
SIAM Journal on Financial Mathematics. 13:653-655
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e01f462cad611598a34246ea8c66fc4f
https://doi.org/10.1137/21m1447040
https://doi.org/10.1137/21m1447040
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
https://doi.org/10.1111/mafi.12288
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
https://doi.org/10.1007/s10957-020-01699-6
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
http://arxiv.org/abs/2107.12885
Autor:
Laurence Carassus, Emmanuel Lépinette
Publikováno v:
Journal of Mathematical Analysis and Applications
Journal of Mathematical Analysis and Applications, Elsevier, In press
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
https://hal.archives-ouvertes.fr/hal-03283767/file/AMMrevision1006.pdf
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
https://doi.org/10.1007/s00186-018-0635-3
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
https://doaj.org/article/b5e5f1324ab04b8b875ce16fa2797d42
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
In the frictionless discrete time financial market of Bouchard and Nutz [Ann. Appl. Probab., 25 (2015), pp. 823--859] we consider a trader who is required to hedge $\xi$ in a risk-conservative way relative to a family of probability measures ${\cal P
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::02440629b16ac40aebf656dee69108eb
http://arxiv.org/abs/1812.11201
http://arxiv.org/abs/1812.11201