Henry-Labordère, Pierre
- Model-independent Bounds for Option Prices: A Mass Transport Approach
2011/06/29 by Mathias Beiglböck, Beiglböck, Mathias, Pierre Henry-Labordère +3 · 12 citations
Economics, Econometrics and Finance · Mathematics · #49K99 #91G99 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #math.OC #msc:49K99 #msc:91G99 #q-fin.CP #q-fin.PR
- A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA
2015/04/23 by Pierre Henry-Labordère, Pierre Henry‐Labordère, Henry-Labordère, Pierre +4 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #49N15 #91G60 #93E20 #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.PR #msc:49N15 #msc:91G60 #msc:93E20