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Principal-agent model, moral hazard, stochastic optimal control
hedging, forward, wholesale spot price, retail, vertical integration
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electricity markets, forward, hedging, producers, retailers, spot, vertical integration
Optimal control, volatility uncertainty, convex duality
G-expectation, G-martingale, nonlinear expectation, stochastic target problem, singular measure, BSDE, 2BSDE, duality
Optimal control, robust pricing and hedging, volatility uncertainty, optimal transportation, pathwise inequalities, lookback option
Fatou property, risk measures
transaction costs, homogenization, viscosity solutions, asymptotic expansions
risk measures, random portofolio
numerical algorithm, BSDEs, branching process, viscosity solution, path dependent PDEs
Make-take fees, market making, financial regulation, high-frequency trading, principal-agent problem, stochastic control
responsiveness incentive, optimal contract, demand response
optimal investment with taxes, weak compactness, Levy convergence
Optimal investment with taxes, Weak compactness, Levy convergence
super-replication, liquidity, viscosity solutions, asymptotic expansions
Energy markets, electricity prices, fuel prices, risk-neutral probability, no-arbitrage pricing, forward contract
Consumption, investment problems, Deterministic optimal control, Endogenous delay
contingent claim, transaction costs, incomplete markets
