In a continuous-time model with multiple assets described by càdlàg processes, this paper
characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies …

The determination of acceptability prices of contingent claims requires the choice of a
stochastic model for the underlying asset price dynamics. Given this model, optimal bid and …

This chapter gives a general formulation of convex stochastic optimization problems in finite
discrete time. The objective of the minimization problem is an integral functional given in …

Abstract Convexity arises naturally in financial risk management. In risk preferences
concerning random cash-flows, convexity corresponds to the fundamental diversification …

The theory of risk measures has become a well-recognized research area since the
publication of the landmark paper by Artzner, Delbaen, Eber and Heath in 1999. In the …

This paper studies an equilibrium model with heterogeneous agents, asset price bubbles,
and trading constraints. Market liquidity is modeled as a stochastic quantity impact from …

This paper derives an equilibrium asset pricing model with endogenous liquidity risk.
Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the …

This paper studies optimal investment from the point of view of an investor with longevity-
linked liabilities. The relevant optimization problems rarely are analytically tractable, but we …

This paper presents a computationally tractable optimization model for cashflow-driven
investment where the aim is to find asset portfolios whose future payouts cover given liability …

We establish the existence of minimizers in a rather general setting of dynamic stochastic
optimization in finite discrete time without assuming either convexity or coercivity of the …