Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Robust pricing-hedging duality for American options in discrete time financial markets.

60G05, American option, Kantorovich duality, Martingale, Nondominated model, Optimal transport, Secondary 49M29, Super-replication

Journey to the heart of second-order EDSRs and other contemporary problems in financial mathematics.

American options, Analyse stochastique quasi-sûre, Asymptotic expansions, Bank monitoring, CDS, CDSs, Développements asymptotiques, EDP complètement non-linéaires, Formule de Feynman-Kac non-linéaire, Fully non-linear PDEs, Générateur à croissance linéaire, Générateur à croissance quadratique, HJB equation, Incertitude de volatilité, Linear growth generator, Liquidity, Liquidité, Maximisation d’utilité robuste, Mesures de probabilité singulières, Non-linear Feynman-Kac formula, Obstacle problem, Options Américaines, Principal/agent problem, Problème d’obstacle, Problème principal/agent, Quadratic growth generator, Quasi-sure stochastic analysis, Robust utility maximization, Second order backward stochastic differential equations, Singular probability measures, Solutions de viscosité, Super-replication, Surréplication, Surveillance des banques, Viscosity solutions, Volatility uncertainty, Équation de HJB, Équations différentielles stochastiques rétrogrades du second ordre

Superreplication with proportional transaction cost under model uncertainty.

Duality, Model uncertainty, Super-replication, Transaction cost

The robust pricing-hedging duality for American options in discrete time financial markets.

60G05, American option, Kantorovich duality, Martingale, Nondominated model, Optimal transport, Secondary 49M29, Super-replication

Super-replication with proportional transaction cost under model uncertainty.

Duality, Model uncertainty, Super-replication, Transaction cost