We test the robustness of the regime switching model for pegged markets introduced in S. Drapeau, T. Wang, T. Wang (2021). In particular, two disputable underlying assumptions: 1) A Black and Scholes model with low volatility for the pre-depegging regime. 2) A thin tail distribution - Poisson...

This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to significantly generalize existing results is the theory of...

We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as CV@R and monotone mean-variance. Numerical schemes are developed for the computation of these risk measures using Fourier transform methods. This leads,...

In the paradigm of von Neumann and Morgenstern (1947), a representation of affine preferences in terms of an expected utility can be obtained under the assumption of weak continuity. Since the weak topology is coarse, this requirement is a priori far from being negligible. In this work, we...

This work provides an axiomatic framework to the concept of conditional preference orders based on conditional sets. Conditional numerical representations of such preference orders are introduced and a conditional version of the theorems of Debreu about the existence of such numerical...