Laurence Carassus

@article{carassus_1860,

title = {Erratum:  The Robust Superreplication Problem:  A Dynamic Approach},

author = {Laurence Carassus and Jan Obloj and Johannes Wiesel},

url = {DOI. 10.1137/21M1447040},

year  = {2022},

date = {2022-06-01},

journal = {Siam Journal On Financial Mathematics},

volume = {13},

number = {2},

pages = {653-655},

abstract = {The assertions of Proposition 3.7 in our paper ``The robust superreplication problem: A dynamic approach"" [L. Carassus, J. Obloj, and J. Wiesel, SIAM J. Financial Math., 10 (2019), pp. 907--941] may fail to hold without an additional assumption, which we detail in this erratum.},

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@article{carassus_1847,

title = {Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time},

author = {Laurence Carassus and Romain Blanchard},

url = {https://epubs.siam.org/doi/10.1137/22M1470013},

year  = {2022},

date = {2022-05-01},

journal = {Siam Journal On Financial Mathematics},

volume = {13},

number = {2},

pages = {53-65},

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pubstate = {published},

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@article{carassus_1540,

title = {Pricing without no-arbitrage condition in discrete time},

author = {Laurence Carassus and Emmanuel Lépinette},

url = {https://www.sciencedirect.com/science/article/pii/S0022247X21005205},

year  = {2022},

date = {2022-01-01},

journal = {Journal Of Mathematical Analysis And Applications},

volume = {505},

number = {1},

pages = {125441},

abstract = {In a discrete time setting, we study the central problem of giving a fair price to some financial product. This problem has been mostly treated using martingale measures and no-arbitrage conditions. We propose a different approach based on convex duality instead of martingale measures duality: The prices are expressed using Fenchel conjugate and bi-conjugate without using any no-arbitrage condition. The super-hedging problem resolution leads endogenously to a weak no-arbitrage condition called Absence of Instantaneous Profit (AIP) under which prices are finite. We study this condition in detail, propose several characterizations and compare it to the usual no-arbitrage condition NA.},

note = {https://www.sciencedirect.com/science/article/pii/S0022247X21005205},

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@article{blanchard_1262,

title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework},

author = {Romain Blanchard and Laurence Carassus},

url = {https://onlinelibrary.wiley.com/doi/10.1111/mafi.12288},

year  = {2021},

date = {2021-01-01},

journal = {Mathematical Finance},

volume = {31},

number = {1},

pages = {366-398},

abstract = {This paper formulates a utility indifference pricing model for investors trading in a discrete time financial market under nondominated model uncertainty. Investor preferences are described by possibly random utility functions defined on the positive axis. We prove that when the investors's absolute risk aversion tends to infinity, the multiple?priors utility indifference prices of a contingent claim converge to its multiple?priors superreplication price. We also revisit the notion of certainty equivalent for multiple?priors and establish its relation with risk aversion.},

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@article{blanchard_1245,

title = {No-arbitrage with multiple-priors in discrete time},

author = {Romain Blanchard and Laurence Carassus},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0304414920303069?via%3Dihub},

year  = {2020},

date = {2020-11-01},

journal = {Stochastic Processes And Their Applications},

volume = {130},

number = {11},

pages = {6657-6688},

abstract = {x},

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@article{carassus_1203,

title = {Risk-neutral pricing for Arbitrage Pricing Theory},

author = {Laurence Carassus and Miklos Rásonyi},

url = {https://ideas.repec.org/a/spr/joptap/v186y2020i1d10.1007_s10957-020-01699-6.html},

year  = {2020},

date = {2020-07-01},

journal = {Journal Of Optimization Theory And Applications},

volume = {186},

number = {1},

pages = {248-263},

abstract = {x},

keywords = {},

pubstate = {published},

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@article{carassus_1142,

title = {From small markets to big markets},

author = {Laurence Carassus and Miklos Rásonyi},

url = {https://www.impan.pl/en/publishing-house/banach-center-publications/all/122},

year  = {2020},

date = {2020-01-01},

journal = {Banach Center Publications},

volume = {122},

pages = {41-52},

abstract = {x},

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pubstate = {published},

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@article{carassus_1145,

title = {The robust superreplication problem: a dynamic approach},

author = {Laurence Carassus and Jan Obloj and Johannes Wiesel},

url = {https://epubs.siam.org/doi/10.1137/18M1235934},

year  = {2019},

date = {2019-11-01},

journal = {Siam Journal On Financial Mathematics},

volume = {10},

number = {4},

pages = {907-941},

abstract = {In the frictionless discrete time financial market of Bouchard and Nutz [Ann. Appl. Probab., 25 (2015), pp. 823--859] we consider a trader who is required to hedge $xi$ in a risk-conservative way relative to a family of probability measures ${cal P}$. We first describe the evolution of $pi_t(xi)$---the superhedging price at time $t$ of the liability $xi$ at maturity $T$---via a dynamic programming principle, show that $pi_t(xi)$ can be seen as a concave envelope of $pi_{t+1}(xi)$ evaluated at today's prices, and prove its dual characterization. Under suitable assumptions, we show that the robust superreplication price is equal to the classical $P$-superhedging price for an extreme prior $Pin {cal P}$. Then we consider an optimal investment problem for the trader who is rolling over her robust superhedge and phrase this as a robust maximization problem, where the expected utility of intertemporal consumption is optimized subject to a robust superhedging constraint. This utility maximization is carried out under a subset ${cal P}^u$ of ${cal P}$ representing the trader's subjective views on market dynamics. Under suitable assumptions on the trader's utility functions, we show that optimal investment and consumption strategies exist and further specify when, and in what sense, these may be unique.},

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@article{blanchard_479,

title = {No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach},

author = {Romain Blanchard and Laurence Carassus and Miklos Rásonyi},

url = {https://link.springer.com/article/10.1007%2Fs00186-018-0635-3},

year  = {2018},

date = {2018-10-01},

journal = {Mathematical Methods Of Operations Research},

volume = {88},

number = {2},

pages = {241-281},

abstract = {We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterisation of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors.},

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@article{carassus_552,

title = {Super-replication price : it can be ok},

author = {Laurence Carassus and Tiziano Vargiolu},

url = {https://www.esaim-proc.org/articles/proc/abs/2018/04/proc186404/proc186404.html},

year  = {2018},

date = {2018-10-01},

journal = {Esaim: proceedings and surveys},

volume = {64},

pages = {54 - 64},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{blanchard_163,

title = {Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function},

author = {Romain Blanchard and Laurence Carassus},

url = {https://projecteuclid.org/euclid.aoap/1527840034},

year  = {2018},

date = {2018-05-01},

journal = {Annals Of Applied Probability},

volume = {28},

number = {3},

pages = {1856-1892},

abstract = {This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line.},

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@article{carassus_740,

title = {Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models},

author = {Laurence Carassus and Miklos Rásonyi},

url = {https://pubsonline.informs.org/doi/10.1287/moor.2015.0720},

year  = {2016},

date = {2016-02-01},

journal = {Mathematics Of Operations Research},

volume = {41},

number = {1},

pages = {146-173},

abstract = {This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. By contrast to the standard setting, a possibly nonconcave utility function U is considered, with domain of definition equal to the whole real line. Simple conditions are presented that guarantee the existence of an optimal strategy for the problem. In particular, the asymptotic elasticity of U plays a decisive role: Existence can be shown when it is strictly greater at ?? than at +?.},

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@article{carassus_741,

title = {Non-concave utility maximization on the positive real axis in discrete time},

author = {Laurence Carassus and Miklos Rásonyi and Andrea M. Rodrigues},

url = {https://link.springer.com/article/10.1007%2Fs11579-015-0146-4},

year  = {2015},

date = {2015-10-01},

journal = {Mathematics And Financial Economics},

volume = {9},

number = {4},

pages = {325-349},

abstract = {We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily verifiable conditions, we establish the existence of optimal portfolios.},

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@article{bernis_742,

title = {Optimal Credit Allocation under Regime Uncertainty with Sensitivity Analysis},

author = {Guillaume Bernis and Laurence Carassus and Grégoire Docq and Simone Scotti},

url = {https://www.worldscientific.com/doi/abs/10.1142/S0219024915500028},

year  = {2015},

date = {2015-02-01},

journal = {International Journal of Theoretical and Applied Finance},

volume = {18},

number = {1},

pages = {1550002},

abstract = {We consider the problem of credit allocation in a regime-switching model. The global evolution of the credit market is driven by a benchmark, the drift of which is given by a two-state continuous-time hidden Markov chain. We apply filtering techniques to obtain the diffusion of the credit assets under partial observation and show that they have a specific excess return with respect to the benchmark. The investor performs a simple mean-variance allocation on credit assets. However, returns and variance matrix have to be computed by a numerical method such as Monte Carlo, because of the dynamics of the system and the non-linearity of the asset prices. We use the theory of Dirichlet forms to deal with the uncertainty on the excess returns. This approach provides an estimation of the bias and the variance of the optimal allocation, and return. We propose an application in the case of a sectorial allocation with Credit Default Swaps (CDS), fully calibrated with observable data or direct input given by the portfolio manager.},

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@article{carassus_744,

title = {On optimal investment for a behavioral investor in multiperiod incomplete market models},

author = {Laurence Carassus and Miklos Rásonyi},

url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/mafi.12018},

year  = {2015},

date = {2015-01-01},

journal = {Mathematical Finance},

volume = {25},

number = {1},

pages = {115-153},

abstract = {We study the optimal investment problem for a behavioral investor in an incomplete discrete?time multiperiod financial market model. For the first time in the literature, we provide easily verifiable and interpretable conditions for well?posedness. Under two different sets of assumptions, we also establish the existence of optimal strategies.},

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@article{carassus_743,

title = {Pricing and Hedging Basis Risk under No Good Deal Assumption},

author = {Laurence Carassus and E. Temam},

url = {https://link.springer.com/article/10.1007%2Fs10436-013-0246-1},

year  = {2014},

date = {2014-02-01},

journal = {Annals of Finance},

volume = {10},

number = {1},

pages = {127-170},

abstract = {We consider the problem of explicitly pricing and hedging an option written on a non-exchangeable asset when trading in a correlated asset is possible. This is a typical case of incomplete market where it is well known that the super-replication concept provides generally too high prices. We study several prices and in particular the instantaneous no-good-deal price (see Cochrane and Saa-Requejo in J Polit Econ 108(1):79-119, 2001) and the global one. We show numerically that the global no-good-deal price can be significantly higher that the instantaneous one. We then propose several hedging strategies and show numerically that the mean-variance hedging strategy can be efficient.},

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