Jocelyne Bion-Nadal

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Time consistency is a crucial property for dynamic risk measures. Making use of the dual representation for conditional risk measures, we characterize the time consistency by a cocycle condition for the minimal penalty function. Taking advantage of this cocycle condition, we introduce a new methodology for the construction of time-consistent dynamic risk(More)
Working in a continuous time setting, we extend to the general case of dynamic risk measures continuous from above the characterization of time consistency in terms of “cocycle condition” of the minimal penalty function. We prove also the supermartingale property for general time consistent dynamic risk measures. When the time consistent dynamic risk(More)
We characterize time-consistent dynamic risk measures. In discrete time in context of uncertainty, we canonically associate a class of probability measures to any dynamic risk measure when the filtration comes from a process bounded at each time. Dynamic risk measures are conditional risk measures on a bigger space. In continuous time, we characterize time(More)
We introduce, in continuous time, an axiomatic approach to assign to any financial position a dynamic ask (resp. bid) price process. Taking into account both transaction costs and liquidity risk this leads to the convexity (resp. concavity) of the ask (resp. bid) price. Time consistency is a crucial property for dynamic pricing. Generalizing the result of(More)
In an L∞-framework, we present majorant-preserving and sandwich-preserving extension theorems for linear operators. These results are then applied to price systems derived by a reasonable restriction of the class of applicable equivalent martingale measures. Our results prove the existence of a no-good-deal pricing measure for price systems consistent with(More)
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