Laurence Carassus

Université Paris VII Denis Diderot

2, place Jussieu

Paris, 75005

France

SCHOLARLY PAPERS

4

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23

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Scholarly Papers (4)

1.

Pricing Without Martingale Measure

Number of pages: 33 Posted: 30 Jun 2018
Julien Baptiste, Laurence Carassus and Emmanuel Lepinette
Université Paris Dauphine - PSL Research University, Université Paris VII Denis Diderot and Université Paris-Dauphine - CEREMADE, CNRS
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Financial Market Models, Super-Hedging Prices, No-Arbitrage Condition, Conditional Support, Essential Supremum

2.

On Optimal Investment for a Behavioral Investor in Multiperiod Incomplete Market Models

Mathematical Finance, Vol. 25, Issue 1, pp. 115-153, 2015
Number of pages: 39 Posted: 17 Jan 2015
Laurence Carassus and Miklós Rásonyi
Université Paris VII Denis Diderot and University of Edinburgh
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optimization, existence and well‐posedness in behavioral finance, “S‐shaped” utility function, probability distortion, Choquet integral

3.

A Discrete Stochastic Model for Investment with a Discrete Stochastic Model for Investment with an Application to the Transaction Costs Case

Journal of Mathematical Economics, Vol. 33, pp. 57-80, 2000
Posted: 16 Aug 2007
Laurence Carassus and Elyes Jouini
Université Paris VII Denis Diderot and Univ. Paris Dauphine - CEREMADE

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Stationarity, Arbitrage, Transaction costs, Farkas lemma, Weak-compactness, Fixed point theorem

4.

Investment and Arbitrage Opportunities with Short Sales Constraints

Mathematical Finance, Vol. 8, No. 3, pp. 169-178, 2007
Posted: 15 Aug 2007
Elyes Jouini and Laurence Carassus
Univ. Paris Dauphine - CEREMADE and Université Paris VII Denis Diderot

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Investment, short sales constraint, stationnary, arbitrage, radon measure, Laplace transform.