Search Results - "Carassus, Laurence"

Risk-Neutral Pricing for Arbitrage Pricing Theory by Carassus, Laurence, Rásonyi, Miklós

“…We consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional…”
Get full text

Super-replication price: it can be ok by Carassus, Laurence, Vargiolu, Tiziano

“…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…”
Get full text

Proceedings of SMAI 2017 by Carassus, Laurence, Darbas, Marion, Gayraud, Ghislaine, Goubet, Olivier, Salmon, Stéphanie

“…Papers related to the congress SMAI 2017, 8th biennale of Applied and Industrial Mathematics…”
Get full text

No free lunch for markets with multiple numéraires by Carassus, Laurence

“…We consider a new framework, that of a global market with a finite number of submarkets, where there is a tradable numéraire for each submarket, but no…”
Get full text

Efficient Approximations for Utility-Based Pricing by Carassus, Laurence, Ferhoune, Massinissa

“…In a context of illiquidity, the reservation price is a well-accepted alternative to the usual martingale approach which does not apply. However, this price is…”
Get full text

Pricing without no-arbitrage condition in discrete time by Carassus, Laurence, Lépinette, Emmanuel

“…In a discrete time setting, we study the central problem of giving a fair price to some financial product. This problem has been mostly treated using…”
Get full text

Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework by Blanchard, Romain, Carassus, Laurence

“…This paper formulates a utility indifference pricing model for investors trading in a discrete time financial market under nondominated model uncertainty…”
Get full text

MULTIPLE-PRIORS OPTIMAL INVESTMENT IN DISCRETE TIME FOR UNBOUNDED UTILITY FUNCTION by Blanchard, Romain, Carassus, Laurence

“…This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under nondominated…”
Get full text

Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models by Carassus, Laurence, Rásonyi, Miklós

“…This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time…”
Get full text

ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS by Carassus, Laurence, Rásonyi, Miklós

“…We study the optimal investment problem for a behavioral investor in an incomplete discrete‐time multiperiod financial market model. For the first time in the…”
Get full text

Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach by Blanchard, Romain, Carassus, Laurence, Rasonyi, Miklos

“…We consider a discrete-time financial market model with finite time horizon and investors with utility functions d efined on the non-negative half-line. We…”
Get full text

No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach by Blanchard, Romain, Carassus, Laurence, Rásonyi, Miklós

“…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…”
Get full text

No free lunch for markets with multiple num\'eraires by Carassus, Laurence

“…We consider a global market constituted by several submarkets, each with its own assets and num\'eraire. We provide theoretical foundations for the existence…”
Get full text

Quasi-sure essential supremum and applications to finance by Carassus, Laurence

“…When uncertainty is modelled by a set of non-dominated and non-compact probability measures, a notion of essential supremum for a family of real-valued…”
Get full text

Nonconcave Robust Utility Maximization under Projective Determinacy by Carassus, Laurence, Ferhoune, Massinissa

“…We study a robust utility maximization problem in a general discrete-time frictionless market. The investor is assumed to have a random, nonconcave and…”
Get full text

Discrete time optimal investment under model uncertainty by Carassus, Laurence, Ferhoune, Massinissa

“…We study a robust utility maximization problem in a general discrete-time frictionless market under quasi-sure no-arbitrage. The investor is assumed to have a…”
Get full text

Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity by Carassus, Laurence, Wiesel, Johannes

“…We investigate an expected utility maximization problem under model uncertainty in a one-period financial market. We capture model uncertainty by replacing the…”
Get full text

Super-replication prices with multiple-priors in discrete time by Blanchard, Romain, Carassus, Laurence

“…In the frictionless discrete time financial market of Bouchard and Nutz (2015), we propose a full characterization of the quasi-sure super-replication price:…”
Get full text

Efficient approximations for utility-based pricing by Carassus, Laurence, Ferhoune, Massinissa

“…In a context of illiquidity, the reservation price is a well-accepted alternative to the usual martingale approach which does not apply. However, this price is…”
Get full text

Pricing without no-arbitrage condition in discrete time by Carassus, Laurence, Lépinette, Emmanuel

“…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…”
Get full text