In this work, we consider optimal stopping problems with model uncertainty incorporated into the formulation of the underlying objective function. Typically, the robust, efficient hedging of American options in incomplete markets may be described as optimal stopping of such kind. Based on a...

When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel’s classical notion of qualitative robustness is not suitable for risk measurement, and we propose and analyze a refined notion of robustness...

Artzner et al. [1] initiated a new direction to assess risks of financial positions by an axiomatic approach. It relies fundamentally on the concept of risk measures, which are functionals defined on sets of financial positions and satisfying some basic properties. The convex risk measures are...