Robust utility maximization with nonlinear continuous semimartingales

no code implementations • 28 Jun 2022 • David Criens, Lars Niemann

In this paper we study a robust utility maximization problem in continuous time under model uncertainty.

A conditional version of the second fundamental theorem of asset pricing in discrete time

no code implementations • 26 Feb 2021 • Lars Niemann, Thorsten Schmidt

We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time.