Despite the widespread realization that financial models for contingent claim pricing, asset allocation and risk management depend critically on their underlying assumptions, the vast majority of financial models are based on single probability measures. In such models, asset prices are assumed...

We propose a new modeling and solution method for probabilistically constrained optimization problems. The methodology is based on the integration of the stochastic programming and combinatorial pattern recognition fields. It permits the fast solution of stochastic optimization problems in which...

We consider a collection of derivatives that depend on the price of an underlying asset at expiration or maturity. The absence of arbitrage is equivalent to the existence of a risk-neutral probability distribution on the price; in particular, any risk neutral distribution can be interpreted as a...

In this paper, motivated by the approximation of Martingale Optimal Transport problems, we are interested in sampling methods preserving the convex order for two probability measures µ and ν on ℝ^d, with ν dominating µ. When (X_i)1≤i≤I (resp. (Y_j)1≤j≤J ) are independent and...