Model-Free Hedging

DOI10.1201/9781315161747zbMATH Open1411.91007OpenAlexW4253776769MaRDI QIDQ4632504FDOQ4632504

Authors: Pierre Henry-Labordère 

Publication date: 29 April 2019

Full work available at URL: https://doi.org/10.1201/9781315161747

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Martingales and classical analysis (60G46)

Cited In (25)

• Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
• Bounds on Choquet risk measures in finite product spaces with ambiguous marginals
• A multi-marginal c-convex duality theorem for martingale optimal transport
• On intermediate marginals in martingale optimal transportation
• A pointwise bipolar theorem
• Optimal martingale transport between radially symmetric marginals in general dimensions
• Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
• On multistochastic Monge-Kantorovich problem, bitwise operations, and fractals
• Approximation of optimal transport problems with marginal moments constraints
• The multistochastic Monge-Kantorovich problem
• Robust bounds for derivative prices in Markovian models
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• A model-free approach to multivariate option pricing
• Portfolio optimization with a prescribed terminal wealth distribution
• Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
• A solution to the Monge transport problem for Brownian martingales
• Improved robust price bounds for multi-asset derivatives under market-implied dependence information
• Semi-robust replication of barrier-style claims on price and volatility
• On the convergence rate of potentials of Brenier maps
• Inversion of convex ordering in the VIX market
• Robust matching for teams
• Peacock geodesics in Wasserstein space
• Tightening robust price bounds for exotic derivatives
• Entropy martingale optimal transport and nonlinear pricing-hedging duality
• Change of numeraire in the two-marginals martingale transport problem

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