Laurence Carassus

Available identifiers

zbMath Open carassus.laurenceMaRDI QIDQ496583

List of research outcomes

Publication	Date of Publication	Type
Quasi-sure essential supremum and applications to finance	2025-01-09	Paper
Efficient approximations for utility-based pricing	2024-06-04	Paper
Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework	2023-09-27	Paper
No free lunch for markets with multiple numéraires	2023-02-24	Paper
Erratum: The Robust Superreplication Problem: A Dynamic Approach	2022-07-22	Paper
Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time	2022-05-31	Paper
Pricing without no-arbitrage condition in discrete time	2021-10-22	Paper
From small markets to big markets	2021-05-20	Paper
No-arbitrage with multiple-priors in discrete time	2021-02-18	Paper
Risk-neutral pricing for arbitrage pricing theory	2020-07-14	Paper
The Robust Superreplication Problem: A Dynamic Approach	2020-02-14	Paper
Super-replication price: it can be ok	2019-01-29	Paper
No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach	2018-11-07	Paper
Multiple-priors optimal investment in discrete time for unbounded utility function	2018-08-16	Paper
Maximization of nonconcave utility functions in discrete-time financial market models	2016-04-15	Paper
Stochastic Sensitivity Study for Optimal Credit Allocation	2015-10-21	Paper
Non-concave utility maximisation on the positive real axis in discrete time	2015-09-22	Paper
OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS	2015-04-15	Paper
ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS	2015-02-20	Paper
Pricing and hedging basis risk under no good deal assumption	2014-11-13	Paper
Risk-averse asymptotics for reservation prices	2011-08-25	Paper
Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do	2008-05-27	Paper
Convergence of utility indifference prices to the superreplication price: the whole real line case	2007-07-19	Paper
Convergence of utility indifference prices to the superreplication price	2007-01-05	Paper
Investment and Arbitrage Opportunities with Short Sales Constraints	2003-02-02	Paper
No arbitrage in discrete time under portfolio constraints.	2001-11-26	Paper
A discrete stochastic model for investment with an application to the transaction costs case	2000-04-09	Paper
Nonconcave Robust Utility Maximization under Projective Determinacy	N/A	Paper

Research outcomes over time

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