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Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne
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Liquidity, super-hedging, price manipulation
Dividend Policy, Business Cycles, Financial Frictions
Volatility Uncertainty, Risk Measure, Time Consistency, Nonlinear Martingale, Superhedging, Replication, Second Order BSDE, G-Expectation AMS 2000 Subject
liquidity risk, limit order books, asset pricing, utility maximization, resilience, price impacts
G-expectation, G-martingale, nonlinear expectation, stochastic target problem, singular measure, BSDE, 2BSDE, duality
G-expectation, volatility uncertainty, weak limit theorem
Liquidity risk, limit order book, price impact, utility maximization, dynamic programming
European options, Robust hedging, Transaction costs, Weak convergence, Consistent price systems, Optimal transport
European Options, Robust Hedging, Min-Max Theorems, Prokhorov Metric, Optimal transport
transaction costs, homogenization, viscosity solutions, asymptotic expansions
price impact, portfolio choice, asymptotics, homogenization
fixed transaction costs, optimal investment and consumption, homogenization, viscosity solutions, asymptotic expansions
Expected loss constraint, hedging, transaction cost, asymptotic expansion
Boundary layer, convex analysis, convex duality, facelift, financial mathematics, incomplete markets, Markov processes, utility-maximization, unspanned endowment.
Robust hedging, Martingale Optimal Transport, Super-replication.
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super‐replication, liquidity, binomial model, dynamic programming
European Options, Model-free Hedging, Semi Static Hedging, Trans- action Costs, Conditional Full Support
Hedging, illiquid markets, portfolio tracking
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