Searched for: subject%3A%22improved%255C%2BFrechet%255C-Hoeffding%255C%2Bbounds%22
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Bartl, Daniel (author), Kupper, Michael (author), Lux, Thibaut (author), Papapantoleon, A. (author)
Motivated by applications in model-free finance and quantitative risk management, we consider Frechet classes of multivariate distribution functions where additional information on the joint distribution is assumed, while uncertainty in the marginals is also possible. We derive optimal transport duality results for these Frechet classes that...
journal article 2022
Papapantoleon, A. (author), Sarmiento, Paulo Yanez (author)
We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simultaneously. More specifically, we consider a financial market with multiple traded assets whose marginal risk-neutral distributions are known, and assume that several...
journal article 2021