We investigate the optimal martingale transport problem under additional constraints and its application to robust price bounds for financial derivatives. More specifically, we derive improved price bounds by taking into account supplementary information about the variance of the returns on the...

We study the optimal martingale transport problem under an additional constraint imposing the underlying process to be Markovian. This formulation results in a modified transportation problem in which the solutions correspond to robust price bounds for exotic derivatives within the class of...

We study pricing and hedging under parameter uncertainty for a class of Markov processes which we call generalized affine processes and which includes the Black-Scholes model as well as the constant elasticity of variance (CEV) model as special cases. Based on a general dynamic programming...

Abstract: This thesis studies several topics related to the area of model-independent and robust finance.<br>In particular, the work addresses valuation approaches that can be applied to determine robust price bounds for exotic derivatives which are calculable without imposing assumptions on the...

We investigate statistical arbitrage strategies when there is ambiguity about the underlying time-discrete financial model. Pricing measures are assumed to be martingale measures calibrated to prices of liquidly traded options, whereas the set of admissible physical measures is not necessarily...