In this paper we explore a novel way to combine the dynamic notion of time-consistency with the static notion of quantile-based coherent risk-measure or spectral risk measure, of which Expected Shortfall is a prime example. We introduce a class of dynamic risk measures in terms of a certain...

The paper provides a new hedging methodology permitting systematic hedging choices with wide applications. Dynamic concave bid price, and convex ask price functionals from the recent literature are employed to construct new hedging strategies termed dynamic conic hedging. The primary focus of...

Trading strategies are valued using non-linear conditional expectations with respect to non-additive probabilities in a discrete time Markovian context. Non-additive probabilities attain conservatism by exaggerating upwards tail loss events and exaggerating downwards tail gain events. Steady...

A positive spot rate model driven by a gamma process and correlated to equity is introduced and calibrated via closed forms for the joint characteristic function for the rate r, its integral y and the logarithm of the stock price s under the T-forward measure. The law of the triple (r,y,s) is...