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...

Probability distortions for constructing nonlinear G-expectations for the bid and ask or lower and upper prices in continuous time are here extended to the direct use of measure distortions. Fairly generally measure distortions can be constructed as probability distortions applied to an...

Static and discrete time pricing operators for two price economies are reviewed and then generalized to the continuous time setting of an underlying Hunt process. The continuous time operators define nonlinear partial integro-differential equations that are solved numerically for the three...

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...

In this paper we present a fast and accurate algorithm for pricing barrier options in one-dimensional Markov models, including general local volatility models with jumps, L\'evy processes and L\'evy driven SDEs. The approach rests on the construction of an approximating continuous-time Markov...