Laurence Carassus

Publication Activity (10 Years)

Years Active: 2006-2022
Publications (10 Years): 6

Top Topics

Dynamic Programming

Financial Markets

Top Venues

SIAM J. Financial Math.

J. Optim. Theory Appl.

Math. Oper. Res.

Math. Methods Oper. Res.

Publications

Romain Blanchard, Laurence Carassus
Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time. SIAM J. Financial Math. 13 (2) (2022)
Laurence Carassus, Jan Oblój, Johannes Wiesel
Erratum: The Robust Superreplication Problem: A Dynamic Approach. SIAM J. Financial Math. 13 (2) (2022)
Laurence Carassus, Miklós Rásonyi
Risk-Neutral Pricing for Arbitrage Pricing Theory. J. Optim. Theory Appl. 186 (1) (2020)
Laurence Carassus, Jan Oblój, Johannes Wiesel
The Robust Superreplication Problem: A Dynamic Approach. SIAM J. Financial Math. 10 (4) (2019)
Romain Blanchard, Laurence Carassus, Miklós Rásonyi
No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach. Math. Methods Oper. Res. 88 (2) (2018)
Laurence Carassus, Miklós Rásonyi
Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models. Math. Oper. Res. 41 (1) (2016)
Laurence Carassus, Miklós Rásonyi
Optimal Strategies and Utility-Based Prices Converge When Agents' Preferences Do. Math. Oper. Res. 32 (1) (2007)
Laurence Carassus, Miklós Rásonyi
Convergence of Utility Indifference Prices to the Superreplication Price. Math. Methods Oper. Res. 64 (1) (2006)