arXiv (All)
open access
First order Martingale model risk and semi-static hedging
We investigate model risk distributionally robust sensitivities for functionals on the Wasserstein space when the underlying model is constrained to the martingale class and/or is subject to constraints on the first marginal law. Our results extend the findings of Bartl, Drapeau, Obloj \& Wiesel \ci
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- Model Risk Static-Hedging a Constrained Distributionally Robust Optimization approach#1051443
- Higher-Order Sensitivity Analysis of Wasserstein and Adapted Wasserstein Distributionally Robust Optimization Problems#1051838
- Wasserstein Distributionally Robust Risk-Sensitive Estimation via Conditional Value-at-Risk#120506
- A Distributionally Robust Random Utility Model#367000
- Risk aversion over finite domains#71769
Record · ID 1051410
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive