Classical option pricing theories are usually built on the law of one price, neglecting the
impact of market liquidity that may contribute to significant bid-ask spreads. Within the …

In this work we give a comprehensive overview of the time consistency property of dynamic
risk and performance measures, focusing on a the discrete time setup. The two key …

We present an arbitrage free theoretical framework for modeling bid and ask prices of
dividend paying securities in a discrete time setup using the theory of dynamic acceptability …

This paper provides a unified framework, which allows, in particular, to study the structure of
dynamic monetary risk measures and dynamic acceptability indices. The main mathematical …

We propose the star-shaped acceptability indexes as generalizations of both the
approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the …

In this paper, we provide a flexible framework allowing for a unified study of time consistency
of risk measures and performance measures (also known as acceptability indices). The …

The aim of this work is to study risk measures generated by distortion functions in a dynamic
discrete time setup and to investigate the corresponding dynamic coherent acceptability …

The aim of this paper is to study the optimal investment problem by using coherent
acceptability indices (CAIs) as a tool to measure the portfolio performance. We call this …

Motivated by recent axiomatic developments, we study the risk-and ambiguity-averse
investment problem where trading takes place in continuous time over a fixed finite horizon …

Risk-neutral default probabilities can be implied from credit default swap (CDS) market
quotes. In practice, mid-CDS quotes are used as inputs, as their risk-neutral counterparts are …