Jocelyne Bion-Nadal

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(revised version of the second part of " Dynamic risk measuring: discrete time in a context of uncertainty, and continuous time on a probability space " , CMAP preprint 596) Abstract 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(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)
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