We show that the results of the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for static hedging (hedging options) are quoted with bid-ask spreads. In this set-up, we need to work with the notion of robust...

In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long-term growth rate maximization problems and find closed-form solutions when the drift of the underlying is modeled...

This paper studies a time-inconsistent dividend problem in discrete time with nonex- ponential discounting. Motivated by the decreasing impatience in behaviour economics, a general discount function is used and assumed to be log sub-additive. Using a game-theoretic approach equilibrium barrier...

Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among stopping times or randomized stopping times may not exist....

A new notion of equilibrium, which we call strong equilibrium, is introduced for timeinconsistent stopping problems in continuous time. Compared to the existing notions introduced in Time-Consistent Stopping Under Decreasing Impatience and On Finding Equilibrium Stopping Times for...

This paper studies competitions with rank-based reward among a large number of teams. Within each sizable team, we consider a mean-field contribution game in which each team member contributes to the jump intensity of a common Poisson project process; across all teams, a mean field competition...

A market model with d assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a numeraire is not assumed. It is shown that robust no arbitrage holds if, and only if, there exists a Pareto solution for some...