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I discuss some recent developments related to the robust framework for pricing and hedging in discrete time. I introduce pointwise approach based on pathspace restrictions and compare it with the quasi-sure setting of Bouchard and Nutz (2015), and show that their versions of the Fundamental Theorem of Asset Pricing and the Pricing-Hedging duality may be deduced one from the other via a construction of a suitable set of paths which represents a given set of measures. I show that the setup with statically traded hedging instruments can be naturally lifted to a setup with only dynamically traded assets without changing the superhedging prices. This allows one to deduce, in particular, a pricing-hedging duality for American options. Subsequently, I focus on the superhedging problem and discuss the choice of a trading strategy amongst all feasible super-hedging strategies. First, I establish existence of a minimal superhedging strategy and characterise its value via a concave envelope construction. Then I introduce a secondary problem of maximisation of expected utility of consumption. Building on Nutz (2014) and Blanchard and Carassus (2017) I provide suitable assumptions under which an optimal strategy exists and is unique. Finally, I also explain how additional information can be seen as a further restriction of the pathspace. This allows one to quantify to value of such a new information. The talk is based on a number of recent works (see references) as well as ongoing research with Johannes Wiesel. I discuss some recent developments related to the robust framework for pricing and hedging in discrete time. I introduce pointwise approach based on pathspace restrictions and compare it with the quasi-sure setting of Bouchard and Nutz (2015), and show that their versions of the Fundamental Theorem of Asset Pricing and the Pricing-Hedging duality may be deduced one from the other via a construction of a suitable set of paths which represents a ...

91G20 ; 91B70 ; 60G40 ; 60G42 ; 90C46 ; 28A05 ; 49N15

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We study a financial market in which some assets, with prices adapted w.r.t. a reference filtration F are traded. In this presentation, we shall restrict our attention to the case where F is generated by a Brownian motion. One then assumes that an agent has some extra information, and may use strategies adapted to a larger filtration G. This extra information is modeled by the knowledge of some random time $\tau$, when this time occurs. We restrict our study to a progressive enlargement setting, and we pay particular attention to honest times. Our goal is to detect if the knowledge of $\tau$ allows for some arbitrage (classical arbitrages and arbitrages of the first kind), i.e., if using G-adapted strategies, one can make profit. The results presented here are based on two joint papers with Aksamit, Choulli and Deng, in which the authors study No Unbounded Profit with Bounded Risk (NUPBR) in a general filtration F and the case of classical arbitrages in the case of honest times, density framework and immersion setting. We shall also study the information drift and the growth of an optimal portfolio resulting from that model (forthcoming work with T. Schmidt). We study a financial market in which some assets, with prices adapted w.r.t. a reference filtration F are traded. In this presentation, we shall restrict our attention to the case where F is generated by a Brownian motion. One then assumes that an agent has some extra information, and may use strategies adapted to a larger filtration G. This extra information is modeled by the knowledge of some random time $\tau$, when this time occurs. We ...

60G40 ; 60G44 ; 91B44 ; 91G10

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