We provide a model-free pricing–hedging duality in continuous time. For a frictionless
market consisting of dd risky assets with continuous price trajectories, we show that the …

We investigate asymmetry of information in the context of the robust approach to pricing and
hedging of financial derivatives. We consider two agents, one who only observes the stock …

We present a probabilistic construction of $\mathbb {R}^ d $-valued non-linear affine
processes with jumps. Given a set $\Theta $ of affine parameters, we define a family of …

In this paper, we introduce a sublinear conditional expectation with respect to a family of
possibly nondominated probability measures on a progressively enlarged filtration. In this …

Semi-static trading strategies make frequent appearances in mathematical finance, where
dynamic trading in a liquid asset is combined with static buy-and-hold positions in options …

We investigate statistical arbitrage strategies when there is ambiguity about the underlying
time-discrete financial model. Pricing measures are assumed to be martingale measures …

In this paper we introduce a sublinear conditional operator with respect to a family of
possibly nondominated probability measures in presence of multiple ordered default times …

In this dissertation we consider the problem of pricing and hedging insurance liabilities, by
extending concepts and methodologies recently introduced in the mathematical literature for …

The first main topic of this thesis, considered in Chapters I and II, is the study of the mean
variance hedging problem in the rough Heston model. Rough volatility models have become …

In this paper we consider the pricing and hedging of financial derivatives in a model-
independent setting, for a trader with additional information, or beliefs, on the evolution of …