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Consistent price systems under model uncertainty

Bouchard, Bruno; Nutz, Marcel - In: Finance and stochastics 20 (2016) 1, pp. 83-98

Persistent link: https://www.econbiz.de/10011459977

A stochastic target approach for P&L matching problems

Bouchard, Bruno; Vu, Thanh Nam - In: Mathematics of operations research 37 (2012) 3, pp. 526-558

Persistent link: https://www.econbiz.de/10009612948

Generalized stochastic target problems for pricing and partial hedging under loss constraints : application in optimal book liquidation

Bouchard, Bruno; Dang, Ngoc-minh - In: Finance and stochastics 17 (2013) 1, pp. 31-72

Persistent link: https://www.econbiz.de/10009682291

Stochastic target games and dynamic programming via regularized viscosity solutions

Bouchard, Bruno; Nutz, Marcel - In: Mathematics of operations research 41 (2016) 1, pp. 109-124

Persistent link: https://www.econbiz.de/10011448306

Wealth-path dependent utility maximization in incomplete markets

Bouchard, Bruno; Pham, Huyên - In: Finance and stochastics 8 (2004) 4, pp. 579-603

Persistent link: https://www.econbiz.de/10002261514

On the Malliavin approach to Monte Carlo approximation of conditional expectations

Bouchard, Bruno; Ekeland, Ivar; Touzi, Nizar - In: Finance and stochastics 8 (2004) 1, pp. 45-71

Persistent link: https://www.econbiz.de/10001910692

Option pricing by large risk aversion utility under transaction costs

Bouchard, Bruno; Kabanov, Jurij M.; Touzi, Nizar - In: Decisions in economics and finance : DEF ; a journal of … 24 (2001) 2, pp. 127-136

Persistent link: https://www.econbiz.de/10001683843

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Halil Mete - 2014

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transaction costs is used to obtain a tractable model. A...

Persistent link: https://www.econbiz.de/10010442924

A quasi-sure optional decomposition and super-hedging result on the Skorokhod space

Bouchard, Bruno; Tan, Xiaolu - In: Finance and stochastics 25 (2021) 3, pp. 505-528

Persistent link: https://www.econbiz.de/10012585984

Computation of expected shortfall by fast detection of worst scenarios

Bouchard, Bruno; Reghai, Adil; Virrion, Benjamin - In: Quantitative finance 21 (2021) 7, pp. 1087-1108

Persistent link: https://www.econbiz.de/10012588021

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