Patrick Cheridito
ETH Zurich
ABSTRACT:
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 consider relaxed versions which,
instead
of eliminating the shortfall risk completely, aim to reduce it to an
acceptable
level. This yields robust price bounds with tighter spreads. As
applications we
study strict super- and subhedging with general convex transaction costs
and
trading constraints as well as risk based hedging with respect to
robust
versions of the average value at risk and entropic risk measure. Our
approach
is based on representation results for increasing convex functionals and
allows
for general financial market structures. As a side result it yields a
robust
version of the fundamental theorem of asset pricing. Joint work with
Michael
Kupper and Ludovic Tangpi.