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Financial markets with volatility uncertainty
Financial markets volatility uncertainty
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2011/1/4
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consist...
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
Superhedging Dynamic Risk Measures
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2010/12/13
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. W...