Berlin
Germany
Humboldt University of Berlin - Faculty of Mathematics and Natural Sciences
superreplication, multiplicative price impact, resilience, transient impact, option settlement, non-covered options, covered options, hedging, viscosity solutions, stochastic target problem
Model ambiguity, robust hedging, Knightean uncertainty, combined drift and volatility uncertainty, good-deal bounds, hedging to acceptability, coherent risk measure, 2nd-order BSDE, stochastic control
Incomplete markets, good-deal bounds, model uncertainty, good-deal hedging, multiple priors, backward stochastic differential equations
