We define (d,n)-coherent risk measures as set-valued maps from <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$L^\infty_d$</EquationSource> </InlineEquation> into <InlineEquation ID="Equ2"> <EquationSource Format="TEX">$\mathbb{R}^n$</EquationSource> </InlineEquation> satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner et al. [2]. We then discuss the aggregation issue, i.e., the...</equationsource></inlineequation></equationsource></inlineequation>

In this paper, we study the problem of finding the minimal initial capital (i.e. super-replication value) needed in order to hedge (without risk) European contingent claims in a Markov setting under proportional transaction costs. The main result is that the cheapest (trivial) buy-and-hold...

This paper presents a real option valuation model of a power plant, which accounts for physical constraints and market incompleteness. Switching costs, minimum on-off times, ramp rates, or non-constant heat rates are important characteristics that can lead, if neglected, to overestimated values....

This paper presents a real option valuation model of a power plant, which accounts for physical constraints and market incompleteness. Switching costs, minimum on-off times, ramp rates, or non-constant heat rates are important characteristics that can lead, if neglected, to overestimated values....

In this paper, we study the problem of finding the minimal initial capital (i.e. super-replication value) needed in order to hedge (without risk) European contingent claims in a Markov setting under proportional transaction costs. The main result is that the cheapest (trivial) buy-and-hold...