In the context of complete continuous-time models for financial markets, we study dynamic measures for the risk asscociated with a given liability C: a random variable representing the payoff that has to be delivered at a future time T. The risk is defined as the supremum over a set of possible...

We study the problem of determining the minimum cost of super-replicating a non-negative contingent claim when there are convex constraints on the portfolio weights. It is shown that the optimal cost with constraints is equal to the price of a related claim without constraints. The related claim...

We perform a detailed asymptotic analysis of the equilibrium behavior of the asset prices, wealth size and portfolio weights in complete markets equilibria, with long-lived funds. In equilibrium, the fund with the (closest to) log preference will dominate the other funds in size, in the...

This is a survey paper on techniques and results of the theory of optimal trading for a single agent with a nonlinear wealth process, in a continuous-time model. Examples include the case of policy dependent prices, portfolio constraints and different interest rates for borrowing and lending. We...

The paper studies the problem of hedging European contingent claims in a continuous-time, generalized Black- Scholes-Merton model. Unlike the classical model, we allow price equations to be non-linear; moreover, the return rates and volatility parameters can depend on the wealth and portfolio...