The purpose of this paper is to characterize the cost of super-replicating a contingent claim in a dynamic stochastic securities market under constraints. The dynamic market under consideration will allow for two different types of trading frictions: convex constraints on the portfolio processes...

The purpose of this paper is to provide a comprehensive study of the theory of portfolio optimization in frictional continuous-time securities markets under uncertainty. The dynamic market under consideration will allow for two different types of trading frictions: convex constraints on the...

The purpose of this note is to derive the limit distribution in a certain sense resulting in the framework of the so-called Compound Gamma CreditRisk+ Model.Instead of merely considering the loss distribution of a single credit portfolio, we shall consider an infinite sequence of portfolios of a...