We consider a nondominated model of a discrete-time financial market where stocks are
traded dynamically, and options are available for static hedging. In a general measure …

The duality between the robust (or equivalently, model independent) hedging of path
dependent European options and a martingale optimal transport problem is proved. The …

We study the optimal transport between two probability measures on the real line, where the
transport plans are laws of one-step martingales. A quasi-sure formulation of the dual …

A function is exponentially concave if its exponential is concave. We consider exponentially
concave functions on the unit simplex. In a previous paper, we showed that gradient maps of …

The Bass local volatility model introduced by Backhoff-Veraguas--Beiglb\" ock--Huesmann--
K\" allblad is a Markov model perfectly calibrated to vanilla options at finitely many …

We study a continuous‐time financial market with continuous price processes under model
uncertainty, modeled via a family of possible physical measures. A robust notion of no …

Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation
of model-independent bounds for exotic options consistent with market prices of liquid …

By investigating model-independent bounds for exotic options in financial mathematics, a
martingale version of the Monge–Kantorovich mass transport problem was introduced in …

In this paper we derive robust super-and subhedging dualities for contingent claims that can
depend on several underlying assets. In addition to strict super-and subhedging, we also …

We pursue a robust approach to pricing and hedging in mathematical finance. We consider
a continuous-time setting in which some underlying assets and options, with continuous …