We develop a theory of “risky utilities”, i.e. private firms that manage an infrastructure for public service, and that … may be tempted to engage in excessively risky activities, such as reducing maintenance expenditures (at the risk of … provoking a break-down of the system) or in speculation (at the risk of incurring massive losses it cannot bear). These risky …

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas … for prices and hedging strategies in terms of the security's cash gamma …

of the bears and the purchases of the bulls are balanced." We propose a descriptive theory of finance explicating Keynes … pessimism, defined as the composition of the investor's preferences for risk and her preferences for ambiguity. Bulls and bears …

This article reviews recent developments in revealed preference theory. It discusses the testable implications of …, subjected expected utility and maxmin expected utility in the presence of uncertainty, and exponentially discounted utility for … different qualifications depending on the functional forms in the theory under consideration …