Person: Tangpi, Ludovic
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Tangpi
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Ludovic
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- PublicationJournal articleRepresentation of increasing convex functionals with countably additive measures(2021) Cheridito, Patrick; Kupper, Michael; Tangpi, LudovicPublished in: Studia Mathematica ; 260 (2021). - pp. 121-140. - Institute of Mathematics, Polish Academy of Sciences. - ISSN 0039-3223. - eISSN 1730-6337
- PublicationJournal articleComputational aspects of robust optimized certainty equivalents and option pricing(2020) Bartl, Daniel; Drapeau, Samuel; Tangpi, LudovicPublished in: Mathematical Finance ; 30 (2020), 1. - pp. 287-309. - Wiley. - ISSN 0960-1627. - eISSN 1467-9965
- PublicationJournal articleDuality for pathwise superhedging in continuous time(2019) Bartl, Daniel; Kupper, Michael; Prömel, David J.; Tangpi, LudovicPublished in: Finance and Stochastics ; 23 (2019), 3. - pp. 697-728. - ISSN 0949-2984. - eISSN 1432-1122
- PublicationJournal articleMultidimensional Markovian FBSDEs with super-quadratic growth(2019) Kupper, Michael; Luo, Peng; Tangpi, LudovicPublished in: Stochastic Processes and their Applications ; 129 (2019), 3. - pp. 902-923. - ISSN 0304-4149. - eISSN 1879-209X
- PublicationJournal articleDuality for increasing convex functionals with countably many marginal constraints(2017) Bartl, Daniel; Cheridito, Patrick; Kupper, Michael; Tangpi, LudovicPublished in: Banach Journal of Mathematical Analysis ; 11 (2017), 1. - pp. 72-89. - eISSN 1735-8787
- PublicationJournal articleDuality Formulas for Robust Pricing and Hedging in Discrete Time(2017) Cheridito, Patrick; Kupper, Michael; Tangpi, LudovicPublished in: SIAM Journal on Financial Mathematics ; 8 (2017), 1. - pp. 738-765. - eISSN 1945-497X
- PublicationJournal articleMinimal supersolutions of convex BSDEs under constraints(2016) Heyne, Gregor; Kupper, Michael; Mainberger, Christoph; Tangpi, LudovicPublished in: ESAIM : Probability and Statistics ; 20 (2016). - pp. 178-195. - ISSN 1292-8100. - eISSN 1262-3318
- PublicationJournal articlePortfolio Optimization under Nonlinear Utility(2016) Heyne, Gregor; Kupper, Michael; Tangpi, LudovicPublished in: International Journal of Theoretical and Applied Finance ; 19 (2016), 5. - 1650029. - ISSN 0219-0249. - eISSN 1793-6322
- PublicationJournal articleDual representation of minimal supersolutions of convex BSDEs(2016) Drapeau, Samuel; Kupper, Michael; Rosazza Gianin, Emanuela; Tangpi, LudovicPublished in: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques ; 52 (2016), 2. - pp. 868-887. - ISSN 0246-0203
- PublicationDissertationDual Representation of Convex Increasing Functionals with Applications to Finance(2015) Tangpi, Ludovic
